Microeconomic Theory by Mas-Colell, Whinston and Green is the standard graduate micro text. It’s a bit outdated in 2020 (no chapter on prospect theory for example) but the material that is covered still holds up, and it goes in-depth. Some may consider it a bit esoteric for students who have no intention to become theorists, but at the moment it is what most programs use.

Advanced Macroeconomics by Romer is what I would recommend for macro. Keep in mind that I don’t do macro myself and was never very interested in it, so it was enough for me. If you’re into macro and want something a bit more advanced, look into Recursive Macroeconomic Theory by Ljungqvist and Sargent.

For graduate metrics, I recommend Econometric Analysis by Greene. He has also made much of his applied metrics course materials available online: Applied Econometrics.

Don’t restrict yourself only to books but also read the classic papers, as well as modern ones on topics that interest you to complement your working through the textbooks.