Book recommendations on empirical methods in economic research and econometrics?
Firstly, for basic introductory econometrics, the following is quite good:


  "Introduction to Econometrics" by Stock and Watson.


It is light on technical details, and heavy on intuition. This might not appeal to you if you are a math major, but it's the most important thing to get straight if you are interested in applying the empirical methods rather than developing new econometric methods.

Stock and Watson is very basic, so you will probably want to supplement it. Good choices are likely to be


  "Mostly Harmless Econometrics" by Angrist and Pischke


(this is another book that puts intuition first, but now with more formal detail), and for an advanced graduate treatment


  "Econometric Analysis of Cross Section and Panel Data" by Wooldridge.


I don't know Wooldridge very well, but I know that his book is popular and well-loved among econometrics grad students.

These books have a bias in favour of microeconometrics and deal less, if at all, with time series methods. More comprehensive coverage can be found in


  "Econometrics" by Hayashi


or


  "Econometric Analysis" by Greene.


The book by Hayashi is probably better for self-study; Greene is more of a comprehensive reference book.