The following chapter provides a quick overview of the BayES language and it is recommended that all users go through it. Chapter 3 documents the way external programs can be accessed from BayES and is recommended to users who plan to use these interfaces. From that point onwards the chapters cover speciﬁc models and need not be studied in the order presented in this document: every chapter and, to a large extend, every section within a chapter is self contained. Documentation of every model starts with a mathematical representation, continues with the analysis of syntax of the relevant command, describes the results presented and stored from the model and concludes with code examples. All these models can also be accessed from the GUI, but this is not documented here. Appendix B documents all the functions available in BayES, except the model estimation functions, which are documented in the relevant chapters.
This document is not a substitute for a textbook on Bayesian econometrics. It is assumed that the user is familiar with the basics of Bayesian inference at the level presented, for example, in Greenberg (2013), Koop (2003), or Lancaster (2004). “Bayesian Econometrics using BayES™" is an early draft of a book on Bayesian econometrics, which is associated with BayES and uses examples that employ BayES for estimation. This is made available under a Creative Commons license and can be used as an introduction to Bayesian econometrics, as well as a “soft" introduction to the software itself.