Abstract.Bayesian methods are widely used by theoretical econometricians and statisticians but have not won widespread acceptance from applied researchers. After briefly describing the basic of the Bayesian approach, we discuss several issues relating to the empirical application of Bayesian methods. The existing Bayesian empirical literature is also partially summarized. The remainder of the paper offers a non‐technical survey of some recent computational advances in Bayesian econometrics. The overall goal is to persuade economists that Bayesian methods are both computationally feasible and easy to implement in empirical researc