Bayesian Econometrics, Estimation of DSGE and Optimization Models
Lawrence Christiano: Solution and stochastic simulation of dynamic models with Matlab Dynare, Lecture notes in Advanced Macroeconomics and in Bayesian Inference for DSGE models
Mark Gertler: Lecture notes in Macroeconomic Theory, Real Business Cycles, and the Baseline New Keynesian Model
Òscar Jordà: Estimation and inference of impulse responses by Local Projections with codes in R and in Stata
Dimitris Korobilis: Matlab Econometric codes for estimation of Bayesian Vector Autoregressions, Lecture notes in Macroeconometrics with Bayesian Methods
Valerie Ramey: Estimation of fiscal spending multipliers when interest rates are near the zero lower bound with Local Projection method in Matlab
Ivan Werning: Lectures in Macroeconomic Theory and in Dynamic Optimization
Ambrogio Cesa-Bianchi: Matlab codes to run Vector Autoregressive (VAR) analysis
Jonathan Ingersoll: Well-known from the Cox-Ingersoll-Ross interest rate and bond-pricing model (1985 Econometrica), he is writing a new (freely available) PhD level textbook on "Financial Models and Theories" a must-read for asset-pricing research.
Robert Shiller's Opinion Column
Peterson Institute for International Economics
Paul Krugman: "How I Work - Rules for Research"
Hal Varian: "How to Build an Economic Model"
Christopher Sims: "The View of Economics as a Science"