An addition to the list of Books that Use Stata and Have Exercises:
[Wooldridge, 2003] Wooldridge, J. M. (2003). Introductory
Econometrics. Thompson, Mason, Ohio.
[Wooldridge, 2002] Wooldridge, J. M. (2002). Econometric
analysis of cross section and panel data. MIT Press, Cambridge, MA.