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Bayesian Econometrics, Estimation of DSGE and Optimization Models

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Lawrence Christiano: Solution and stochastic simulation of dynamic models with Matlab Dynare, Lecture notes in Advanced Macroeconomics and in Bayesian Inference for DSGE models 

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Mark Gertler: Lecture notes in Macroeconomic Theory, Real Business Cycles, and the Baseline New Keynesian Model 

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Òscar Jordà: Estimation and inference of impulse responses by Local Projections with codes in R and in Stata

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Dimitris Korobilis: Matlab Econometric codes for estimation of Bayesian Vector Autoregressions, Lecture notes in Macroeconometrics with Bayesian Methods

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Pamela Jakiela: Stata Empirical exercises 

Valerie Ramey: Estimation of fiscal spending multipliers when interest rates are near the zero lower bound with Local Projection method in Matlab

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Ivan Werning: Lectures in Macroeconomic Theory and in Dynamic Optimization

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Ambrogio Cesa-Bianchi: Matlab codes to run Vector Autoregressive (VAR) analysis 

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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.  

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