Bayesian Econometrics, Estimation of DSGE and Optimization Models
Jonathan Ingersoll: Well-known from the Cox-Ingersoll-Ross interest rate and bond-pricing model (1985 Econometrica), he is writing a new (freely available) PhD level textbook on "Financial Models and Theories" a must-read for asset-pricing research.
Paul Krugman: "How I Work - Rules for Research"
Hal Varian: "How to Build an Economic Model"
Christopher Sims: "The View of Economics as a Science"