Journal article
Sparse HP filter: Finding kinks in the COVID-19 contact rate ?
Journal of econometrics, Vol.220(1), pp.158-180
01/01/2021
DOI: 10.1016/j.jeconom.2020.08.008
PMCID: PMC7519716
PMID: 33012953
Abstract
In this paper, we estimate the time-varying COVID-19 contact rate of a Susceptible-Infected-Recovered (SIR) model. Our measurement of the contact rate is constructed using data on actively infected, recovered and deceased cases. We propose a new trend filtering method that is a variant of the Hodrick-Prescott (HP) filter, constrained by the number of possible kinks. We term it the sparse HP filter and apply it to daily data from five countries: Canada, China, South Korea, the UK and the US. Our new method yields the kinks that are well aligned with actual events in each country. We find that the sparse HP filter provides a fewer kinks than the MP trend filter, while both methods fitting data equally well. Theoretically, we establish risk consistency of both the sparse HP and l(1) trend filters. Ultimately, we propose to use time-varying contact growth rates to document and monitor outbreaks of COVID-19. (C) 2020 The Authors. Published by Elsevier B.V.
Details
- Title: Subtitle
- Sparse HP filter: Finding kinks in the COVID-19 contact rate ?
- Creators
- Sokbae Lee - Institute for Fiscal StudiesYuan Liao - Rutgers, The State University of New JerseyMyung Hwan Seo - Seoul National UniversityYoungki Shin - McMaster University
- Resource Type
- Journal article
- Publication Details
- Journal of econometrics, Vol.220(1), pp.158-180
- DOI
- 10.1016/j.jeconom.2020.08.008
- PMID
- 33012953
- PMCID
- PMC7519716
- NLM abbreviation
- J Econom
- ISSN
- 0304-4076
- eISSN
- 1872-6895
- Publisher
- Elsevier
- Number of pages
- 23
- Grant note
- McMaster COVID-19 Research Fund (Stream 2), USA ES/P008909/1 / UK Economic and Social Research Council; UK Research & Innovation (UKRI); Economic & Social Research Council (ESRC) ES/P008909/1 / ESRC; UK Research & Innovation (UKRI); Economic & Social Research Council (ESRC) ERC-2014-CoG-646917-ROMIA / European Research Council; European Research Council (ERC) Ministry of Education of the Republic of Korea; Ministry of Education (MOE), Republic of Korea NRF-2018S1A5A2A01033487 / National Research Foundation of Korea
- Language
- English
- Date published
- 01/01/2021
- Academic Unit
- Economics
- Record Identifier
- 9984936838802771
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