Factor Models with Big Data

The availability of large datasets has resulted in increased interest in Factor Models analysis. Large factor models, increasingly popular in economics and finance, use a few latent factors to characterize the co-movement of economic and financial variables in a high dimensional datasets of interest both to private and public sectors. Empirical applications tend to focus i) macroeconomics: on the analysis of the effects of common shocks (such as for instance changes in the interest rate and/or inflation) on the time series behaviour of relevant variables; as a result, factors models are being increasingly used by economists for economic policy analysis; ii) finance: on the evaluation of patterns of financial markets behaviour concerning risks pertaining to a specific investment, to capture the sensitivity of asset returns as a function of one or more factors. To summarise, factors estimated from high dimensional data provide efficient instruments to control for unobserved heterogeneity and help to improve forecast.

"Factor Models with Big Data" offers participants a chance to review the theory on estimation and statistical inference of large factor models. Participants should leave the course being in a position to autonomously implement, with the aid of the Stata routines utilized during the sessions, the theories and methodologies discussed during the course of the workshop.

In common with TStat’s training philosophy, throughout the course the theoretical sessions are reinforced by case study examples, in which the course tutor discusses current research issues, highlighting potential pitfalls and the advantages of individual techniques. The intuition behind the choice and implementation of a specific technique is of the utmost importance. In this manner, course leaders are able to bridge the “often difficult” gap between abstract theoretical methodologies, and the practical issues one encounters when dealing with real data.

A detailed course program is available at https://www.tstattraining.eu/training/factor-models-big-data/. 

To maximize the usefulness of this course, we strongly recommend that participants bring their own laptops with them, to enable them to actively participate in the empirical sessions.

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Professional training, supplementary courses

Certifications & Titles

A certificant of participation is provided upon completion of the course.

Study Options

Full Time


Regular fees: 275 - 700 EUR


Students*: € 275.00
University: € 475.00
Non-Profit/Public Research Centres: € 600.00
Commercial: € 700.00

To be eligible for student prices, participants must provide proof of their full-time student status for the current academic year.

Fees are subject to VAT (applied at the current Italian rate of 22%). Under current EU fiscal regulations, VAT will not however applied to companies, Institutions or Universities providing a valid tax registration number.

Course fees cover: course materials (handouts, Stata do files and datasets to used during the course), a temporary licence of Stata valid for 30 days from the beginning of the course, light lunch and coffee breaks.

The number of participants is limited to 8. Places, will be allocated on a first come, first serve basis. The course will be officially confirmed, when at least 5 individuals are enrolled.

Funding Options

Students are eligible for discounted workshop participation fees

Eschenheimer Tor 2, 60318 Frankfuer am Main

Frankfurt am Main , Germany

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Frankfurt am Main


Professional training, supplementary courses

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