Stan for Finance and Econometrics
$300 – $600
Stan for Finance and Econometrics

Stan for Finance and Econometrics

Event Information

Share this event

Date and Time

Location

Location

Davis Auditorium, Columbia University

530 West 120th Street

4th floor (campus level), room 412

New York, NY 10027

View Map

Friends Who Are Going
Event description

Description

This class assumes basic familiarity with Stan, Bayesian Inference, and R. If you are new to Stan, consider taking the Introduction to Stan on January 19th. You can buy a two-day ticket here.

In this class, we'll cover the implementation of a few workhorse econometric models in Stan. If you are new to Stan, we recommend that you take the Introduction to Bayesian Inference with Stan on January 19.

Morning session:

- Cross-sectional models: simultaneous equations, SUR, instrumental variables. Hierarchical priors and meta-analysis.

Middle session:

- Working with panel data. Fixed vs random effects models, with and without instrumental variables.

Afternoon session:

- Multivariate time series. Vector Autoregression, Structural Vector Autoregression, and time-varying-parameters.

About your instructor:

Jim Savage is an industry economist and data scientist. He is currently the data science lead at fintech startup Lendable. Before that, he was an economics lecturer and research economist in Australia. He writes a blog on statistical workflow here.

Share with friends

Date and Time

Location

Davis Auditorium, Columbia University

530 West 120th Street

4th floor (campus level), room 412

New York, NY 10027

View Map

Save This Event

Event Saved