Nonparametric Econometrics. This is the most useful econometrics book to give you a foundation in density estimation etc. Harry Paarsch also has a very useful text called An Introduction to the Structural Econometrics of Auction Data which has a particularly useful appendix that goes through heaps of the toolbox technique with a useful focus on auction problems. The last econometric reference worth mentioning in an introduction is Joel Horowitz’s Bootstrap chapter in the handbook of econometrics v5.