J. Quant. Econ. DOI 10.1007/s40953-017-0077-4 ORIGINAL ARTICLE Macroeconomic Modelling and Bayesian Methods Pami Dua 1 © The Indian Econometric Society 2017 Abstract This paper discusses the evolution of macroeconomic modelling. In partic- ular, it focuses in particular on Bayesian methods and provides some applications of the Bayesian vector autoregression methods to the Indian economy. Keywords Macroeconomic modelling · Bayesian methods · Time series Mathematics Subject Classification C11 · C2 · C3 1 Introduction “Macro models are never static. They constantly evolve. ‘Survival of the fittest’ is a good description of the history of models...”- Hall et al. (2003) Research on macroeconomic modelling, the world over, has been driven by con- stantly evolving economic theory and advancements in econometric methodology in a dynamic macroeconomic environment. The focus has been on striking a balance between internal consistency, empirical adherence and adequacy for policy analysis. In this paper, I describe the evolution of macroeconomic modelling and specifically focus on Bayesian methods. Additionally, I present some applications of Bayesian vector autoregression (BVAR) methods to the Indian economy. The paper is organized as follows. “Evolution of Macroeconomic Models”, I first briefly outline the evolution of macroeconomic models. Thereafter, “Bayesian Meth- ods” discusses the tenets of Bayesian methodology. “Applications of Bayesian VAR B Pami Dua dua@econdse.org 1 Department of Economics, Delhi School of Economics, University of Delhi, Delhi 110007, India 123