Peter Kennedy's book,
A Guide To Econometrics saved my hiney in graduate school (in fact, I noticed there's a fifth edition - time to buy another book). I still use it as a first stop whenever I need a simple, low-tech explanation of some econometric technique. If you're a graduate student who needs to use econometrics on a regular basis, it's a must-have.
The New Economist provides links to two of Kennedy's papers:
Sinning in the Basement: What are the Rules? Ten Commandments of Applied Econometrics
Oh no! I got the wrong sign! What should I do?.
Both are in PDF format, and are well worth the time spent reading them.
Note: New Economist provides a link to a post by Andrew Gelman at Statistical Modeling that's also worth reading.
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