The purpose of this thread is to (hopefully) compile in one place all theory related questions with respect to Bayesian Estimation. Dynare does a lot of the work in the background, which is both convenient and dangerous. Hence, if you have a theory related question with respect to your work please post it here.

Here are a couple of general references to start with:

Chapter 9 of the Handbook of Macroeconomics: Solution and Estimation Methods for DSGE Models by Fernandez-Villaverde, Rubio-Ramirez and Schorfheide

“The Econometrics of DSGE Models” by Fernandez-Villaverde