Nicholas W. Papageorge

MWG is the standard for micro. It is actually quite astounding how useful it will be throughout your graduate studies. You will make your way through about a sixteenth of it in your first year and then, during your second-year field courses, having assumed you have progressed beyond it, you will find that whatever obscure tidbit you think you’re discovering has been covered (or, in the very least, mentioned) in one of the later chapters. My advice: do not sell your copy after prelims.

For analysis, I like Royden; for Measure Theory, Bartle; for Topology, Munkres (the old version); for probability, check out Allan Gut’s intermediate text, which is a phenomenal introduction. For a more advanced treatment that includes some measure theory, try Shao’s graduate text. (And if you’ve ever wondered why we need sigma-algebras in probability anyways, try reading this.)

For econometrics, the first three chapters of Davidson and MacKinnon’s text are mind-blowing. After their geometric treatment, you’ll never look at OLS the same way again. For Microeconometrics, Cameron and Trivedi’s book is my bible. If you end up seriously using microeconometrics methods in your research, never, ever leave home without it. For structural micro methods, there is no text book, but you should check out this introduction or this survey of the literature.