I feel like we’re changing tools on every engagement and I’m always burning through trainings trying to master one only to keep it swapped for something else. Any recommendations for books/trainings to help my understanding of the underlying methods of data science instead of just learning the tools?

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Depends to an extent on what you're trying to learn, since "data science" is a pretty broad field. Books in the Springer Texts in Statistics series tend to be very good. On the econometrics side, Peter Kennedy's textbook "A Guide to Econometrics" has helped me a lot, otherwise "Mostly Harmless Econometrics" is solid (and not a textbook!).

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I second this! Taking econometrics courses in school is what made everything kind of “click” for me fundamentally.

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Kennedy is very good. There's also Davidson and MacKinnon (estimation and inference in econometrics) and then Maddala. We used Greene throughout grad school but we also all had math degrees

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