Links to a few Bayesian Econometric/Statistics Texts:

• Intermediate Statistics and Econometrics: A Comparative Approach (Poirier, 1995)
• Bayes and Empirical Bayes Methods for Data Analysis (2nd ed) (Carlin and Louis, 2000)
• Bayesian Inference in Dynamic Econometric Models (Bauwens, Lubrano and Richard, 2000)
• Bayesian Statistical Modeling (Gongdon, 2001)
• Bayesian Methods: A Social and Behavioral Sciences Approach (Gill, 2002)
• Applied Bayesian Modelling (Congdon, 2003)
• Bayesian Data Analysis (2nd ed) (Gelman, Carlin, Stern and Rubin, 2003)
• Bayesian Econometrics (Koop, 2003)
• An Introduction to Modern Bayesian Econometrics (Lancaster, 2004).
• Contemporary Bayesian Econometrics and Statistics (Geweke, 2005).

Links related to Bayesian Software:

• Bayesian Analysis, Computation and Communication
• BUGS and WinBugs
• StatLib (Data, Software and News From Stat Dept. at Carnegie Mellon)