This repo contains scripts that process the data and estimate the parameters of a survival model in a mixed-model Bayesian framework and presented in Loan Payment Deferments Due to Labor Market Shocks: A Case Study. While the files in this repo are all python scripts, they are derived from jupyter notebooks using the Jupytext extension and can be converted to such using the *jupytext --set-formats ipynb,py .py command.
common.py: this script contains a set of common functions that get used across the various jupyter notebooks.
pymc3: contains all the modeling scripts for the paper.
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covid_pooled.py: pooled version of model
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covid_level_I_fraily.py: mixed model with frailty terms for originators.
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deferment.py: generic script that estimates both models in one go.
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projections.py: script for model comparisons using (i) PSIS-LOO and (ii) the Integrated Calibration Index approach of Harrell et. al.