Update: this material has been substantially expanded into the book Bayesian Macroeconometrics: Methods and Applications (Chapman & Hall/CRC, forthcoming). A sample containing the preface and the first four chapters is available here, and the MATLAB code for all 14 chapters is available on GitHub.

Below you will find the course notes on Bayesian Macroeconometrics for a PhD course I recently taught. I intend to add additional materials when time permits. Please let me know if you find any typos or if something doesn't make sense.

Current version: ver 1.4 (2017-06)

The associated datasets and code can be downloaded here

• ver 1.4 (2017-06): added the chapter Mixture Models
• ver 1.3 (2017-03): added the chapter Bayesian Model Comparison
• ver 1.2 (2017-02): added the chapter Overview of Bayesian Econometrics
• ver 1.1 (2017-01): updated references and corrected a few typos
• ver 1.0 (2016-11): initial version