Halbert White 
Asymptotic Theory for Econometricians [PDF ebook] 

This book is intended to provide a somewhat more comprehensive and unified treatment of large sample theory than has been available previously and to relate the fundamental tools of asymptotic theory directly to many of the estimators of interest to econometricians. In addition, because economic data are generated in a variety of different contexts (time series, cross sections, time series–cross sections), we pay particular attention to the similarities and differences in the techniques appropriate to each of these contexts.