In the Advanced Topics in Econometrics course that I'm teaching this semester, one of the topics we're covering is Bayesian Econometrics. I've blogged a little on this topic before - e.g., here, here, here, and here.
If you want some practice exercises on Bayesian inference, you may be interested in this set of problems, as well as the assignment that my class is working on currently.
There's not much "econometric" content to the questions - they're more broadly statistical in nature. However, they cover some of the key ideas associated with this topic. Solutions will be posted later.
We're also looking at computational issues, such as MCMC. More on the latter in a different post, perhaps.
© 2012, David E. Giles