I highly recommend Hayashi's book on Econometrics. It's what we used in the first year of my PhD program in Economics. But it's probably worth starting with a b

I highly recommend Hayashi's book on Econometrics. It's what we used in the first year of my PhD program in Economics. But it's probably worth starting with a basic probability and statistics book, preferably one that's pretty mathematical. I've used Hogg McKean and Craig's Introduction to Mathematical Statistics and it's really good.