Here is a list of teaching and learning material that we found useful
NBER Summer Institute 2007 What's New in Econometrics? by Guido Imbens and Jeffrey Wooldridge
NBER Summer Institute 2008 What's New in Econometrics - Time Series? by James H. Stock and Mark W. Watson
NBER Summer Institute 2011 Computational Tools & Macroeconomic Applications by Lawrence Christiano and Jesus Fernandez-Villaverde
Introductory Lecture on Causality, by Jonas Peter, on youtube
A very comprehensive list of on-line classes on several topics via the Simons Institute for the Theory of Computing, here
Bruce Hansen's textbook Econometrics
Michele has several teaching notes on a variety of topics related to VARs, see here
Here is a list of summer schools and courses
Wouter Den Haan has a very successful summer school on Computational Macroeconomics, see here
23-25 May, 2022: University of East Anglia Summer School on Bayesian SVARs, info here
September, 2021: Macroeconomic Modelling and Policy, University of Surrey, UK, info here