The article discusses how Bayesian methods can help solve problems in multivariate time series models used in macroeconomics. These models have many parameters, which can cause issues, but Bayesian inference offers a solution. The researchers explain how to apply Bayesian methods to VARs, factor augmented VARs, and time-varying parameter models. They also provide practical advice and examples for using these models in empirical macroeconomic analysis. The article includes Matlab code for implementing Bayesian inference in these models.