This is a list of commonly cited books and papers on the wiki, made available to allow copying and pasting of references to individual pages. Feel free to add anything you cite to this list as well.
Amemiya, T. (1985). Advanced Econometrics. Cambridge, MA: Harvard University Press.
Billingsley, P. (1995). Probability and Measure. New York: Wiley.
Cameron, A. C. and P. K. Trivedi (2005). Microeconometrics: Methods and Applications. New York: Cambridge University Press.
Chung, K. L. (2001). A Course in Probability Theory. London: Academic Press.
Cox, D. R. (1962). Renewal Theory. London: Methuen.
Davidson, J. (1994). Stochastic Limit Theory. Oxford University Press.
Marsden, J. E. and M. J. Hoffman (1993). Elementary Classical Analysis. New York: W.H. Freeman.
Royden, H.L. (1988). Real Analysis. Prentice Hall.