Panel Forecasts of Country-Level Covid-19 Infections

27 Pages Posted: 26 May 2020

See all articles by Laura Liu

Laura Liu

Indiana University

Hyungsik Moon

University of Southern California

Frank Schorfheide

University of Pennsylvania - Department of Economics; Centre for Economic Policy Research (CEPR); National Bureau of Economic Research (NBER); University of Pennsylvania - The Penn Institute for Economic Research (PIER)

Date Written: May 2020

Abstract

We use dynamic panel data models to generate density forecasts for daily Covid-19 infections for a panel of countries/regions. At the core of our model is a specification that assumes that the growth rate of active infections can be represented by autoregressive fluctuations around a downward sloping deterministic trend function with a break. Our fully Bayesian approach allows us to flexibly estimate the cross-sectional distribution of heterogeneous coefficients and then implicitly use this distribution as prior to construct Bayes forecasts for the individual time series. According to our model, there is a lot of uncertainty about the evolution of infection rates, due to parameter uncertainty and the realization of future shocks. We find that over a one-week horizon the empirical coverage frequency of our interval forecasts is close to the nominal credible level. Weekly forecasts from our model are published at https://laurayuliu.com/covid19-panel-forecast/.

Suggested Citation

Liu, Laura and Moon, Hyungsik and Schorfheide, Frank, Panel Forecasts of Country-Level Covid-19 Infections (May 2020). NBER Working Paper No. w27248, Available at SSRN: https://ssrn.com/abstract=3609702

Laura Liu (Contact Author)

Indiana University ( email )

Hyungsik Moon

University of Southern California ( email )

2250 Alcazar Street
Los Angeles, CA 90089
United States

Frank Schorfheide

University of Pennsylvania - Department of Economics ( email )

Ronald O. Perelman Center for Political Science
133 South 36th Street
Philadelphia, PA 19104-6297
United States

HOME PAGE: http://www.econ.upenn.edu/~schorf

Centre for Economic Policy Research (CEPR)

London
United Kingdom

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

University of Pennsylvania - The Penn Institute for Economic Research (PIER) ( email )

Philadelphia, PA
United States

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