Bayesian estimation of DSGE models Introduction to DSGE modeling and Bayesian inference. DSGE modeling Turning a DSGE model into a Bayesian model A crash course in Bayesian inference Estimation of linearized DSGE models. Metropolis Hastings algorithms for DSGE models Sequential Monte Carlo methods Three applications Estimation of nonlinear DSGE models. From linear to nonlinear DSGE models Particle filters Combining particle filters with MH samplers Combining particle filters with SMC samplers Appendix. Model descriptions Data sources.