R can help decide the opening of pandemic-ravaged economies

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Epidemiological models do not provide death forecasts.  Statistical models using inverse Mills ratio, generalized linear models (GLM) with Poisson link for death count data plus autoregressive distributed lag (ARDL) models can provide improved death forecasts for individual states.

See details at http://ssrn.com/abstract=3637682  and http://ssrn.com/abstract=3649680 Our 95% confidence interval is [optimistic 4719 to pessimistic 8026] deaths, with a point-estimate forecast for US deaths at 6529 for the week ending July 27, 2020.
Following 2 functions may be useful.  We are finding 95%
confidence intervals for the individual state forecast of the last count of Covid-19 deaths using my `meboot’ package.   I recommend using reps=1000 for more reliable confidence intervals.

fittedLast=function(yt,zt){
#ARDL(1,1) says yt=a+b1 zt =b2 yLag +b3 zLag + err

yt= actual NEW deaths on week t or ND

zt= NEW deaths forecast by US wide model using IMR or PredNewDeaths

#we expect one less weeks of data for predicted new deaths or zt
yt=as.numeric(yt)
zt=as.numeric(zt)
nweeks=length(yt)
if (length(zt)!=nweeks) stop(“unmatched yt zt in fittedLast”)

yt is nweeks X 1 vector# zt is for (nweek-1) X 1 vector

yLag=as.numeric(yt[1:(nweeks-1)])
yyt=as.numeric(yt[2:nweeks])
zzt=as.numeric(zt[2:nweeks])
zLag=as.numeric(zt[1:(nweeks-1)])

not sure if glm will work

latest.fitted=NA
if(min(yt)>0 & min(zt)>0){
reg=glm(yyt~yLag+zzt+zLag,family=poisson(link = “log”))
#reg=lm(yyt~yLag+zzt)
f1=fitted.values(reg)
#f1=fitted(reg)
latest.fitted=f1[length(f1)]
}
return(latest.fitted)
}#end function fittedLast

#example
#set.seed(99)
#z=sample(1:10);y=sample(1:11);
#fittedLast(y,z)
#reg=lm(y[2:10]~y[1:9]+z[2:10])
#print(cbind(y[2:10],fitted(reg)))
#coef(reg)

ARDL95=function(yt,zt,reps=100){
require(meboot)

yt= actual NEW deaths on week t or ND

zt= NEW deaths forecast by US wide model using IMR or PredNewDeaths

#we expect equal no of weeks of data for predicted new deaths or zt
#calls fittedLast which fits
#ARDL(1,1) says yt=a+b1 zt =b2 yLag +b3 zLag + err
yt=as.numeric(yt)
zt=round(as.numeric(zt),0)
nweeks=length(yt)
if (length(zt)!=(nweeks)) stop(“unmatched yt zt in fittedLast”)
mid=fittedLast(yt=yt, zt=zt) #middle of confInterval
#create data
y.ens=meboot(x=as.numeric(yt), reps=reps)$ens
z.ens=meboot(x=as.numeric(zt), reps=reps)$ens
outf=rep(NA,nweeks)#place to store
for (j in 1:reps){
outf[j]=fittedLast(yt=y.ens[,j],z.ens[,j])
}# end j loop over reps
#use ensembles above to get 95percent conf interval
#of the latest.fitted
qu1=quantile(outf,prob=c(0.025,0.975),na.rm=TRUE)
out3=c(qu1[1],mid,qu1[2])
return(out3)
}#end function ARDL95


Published by

Hrihikesh Vinod

Ph. D (Harvard) Economics, Professor of Economics, Fordham University. Author of two R packages meboot and generalCorr

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