Solved – Textbook for Bayesian econometrics

Question

I am looking for a theoretically rigorous textbook on Bayesian econometrics, assuming a solid understanding of frequentist econometrics.

I would like to suggest one work per answer, so that recommendations can be voted up or down individually.

Answer 1

Bayesian Econometrics, by Gary Koop (2003) is a modern rigorous coverage of the field that I recommend. It is in addition completed by a book of exercises: Bayesian Econometric Methods (Econometrics Exercises) by Gary Koop, Dale J. Poirier and Justin L. Tobias (2007).