This is a Ph.D. level course on empirical macroeconomics with a focus on using micro data and models with microeconomic heterogeneity to understand macro phenomenon. Recent increases in computational power and the availability of "big data" have been transformational in empirical macroeconomics. The use of micro data provides additional discipline on macroeconomic models and often leads to insights or conclusions that differ from analysis using aggregate data alone. In this course, we will build the computational tools necessary to bring micro data to heterogeneous agent macro models. The first half of the course will focus mainly on topics related to households while the second half will focus mainly on topics related to firm behavior. Some particular applications include risk sharing and insurance, the welfare costs of business cycles, the role of transaction costs and lumpy adjustment, the effects of economic stimulus, the aggregate implications of volatility/uncertainty and understanding the aggregate dynamics of consumer durables, inflation and investment. Students must develop an empirical research project as part of the course requirements.