With Stata

Christopher Baum's "An Introduction to Modern Econometrics Using Stata" is simply the best econometrics text for applied economists. This book gives a good overview of some of the commands one would need to do regression analysis with stata. It reviews most major topics in econometrics in a concise manner and shows how to treat these issues using Stata. In doing so the book also introduces a number of very useful commands, which you will find yourself using in all your regressions. Remember, however, that this is "An Introduction" and therefore other books will be necessary for a more in depth exposition of certain topics. Regardless, this book is perfect for both postgraduate students as well as researchers looking to re-familiarise themselves with econometrics.