Merge pull request #9 from cmu-delphi/fcast-revision2

Forecast paper Revision 2

Author: dajmcdon

common/covidcast.bib

@@ -567,7 +567,7 @@ @misc{EvalcastR
 @book{Hyndman:2018,
 	author = {Hyndman, Rob J and Athanasopoulos, George},
 	publisher = {OTexts},
-	title = {Forecasting: {P}rinciples and Practice},
+	title = {Forecasting: Principles and Practice},
 	year = {2018}}
 
 @misc{ForecastHub,
@@ -970,4 +970,236 @@ @article{Bilinski:2021
 number = {6},
 pages = {1825--1828}, 
 Bdsk-Url-1 = {https://doi.org/10.1007/s11606-021-06633-8},
+}
+
+
+%% Pile of Forecast Refs
+
+%% Real Time Data
+
+
+@article{faust2009a,
+	author = {Faust, Jon and Wright, Jonathan H.},
+	journal = {Journal of Business and Economic Statistics},
+	pages = {468---479},
+	title = {Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset},
+	volume = {27},
+	year = {2009}}
+
+@article{diebold1991a,
+	author = {Diebold, Francis X. and Rudebusch, Glenn D.},
+	journal = {Journal of the American Statistical Association},
+	pages = {603---610},
+	title = {Forecasting Output With the Composite Leading Index: A Real-Time Analysis},
+	volume = {86},
+	year = {1991}}
+
+@article{patterson1995a,
+	author = {Patterson, K.D.},
+	journal = {International Journal of Forecasting},
+	pages = {395---405},
+	title = {Forecasting the Final Vintage of Real Personal Disposable Income: A State Space Approach},
+	volume = {11},
+	year = {1995}}
+
+@incollection{croushore2011a,
+	author = {Croushore, Dean},
+	booktitle = {The Oxford Handbook of Economic Forecasting},
+	editor = {Hendry, David F. and Clements, Michael P.},
+	pages = {247---267},
+	publisher = {Oxford University Press},
+	title = {Forecasting with real-time data vintages},
+	year = {2011}}
+
+@incollection{croushore2006a,
+	address = {Amsterdam},
+	author = {Croushore, Dean},
+	booktitle = {Handbook of Economic Forecasting},
+	editor = {Elliott, Graham and Granger, Clive W.J. and Timmermann, Allan},
+	pages = {961--972},
+	publisher = {North-Holland},
+	title = {Forecasting with Real-Time Macroeconomic Data},
+	year = {2006}}
+
+@incollection{harvey1983a,
+	address = {Washington, D.C},
+	author = {Harvey, A.C. and McKenzie, C.R. and Blake, D.P.C. and Desai, M.J.},
+	booktitle = {Applied Time Series Analysis of Economic Data},
+	editor = {Zellner, Arnold},
+	pages = {329---347},
+	publisher = {U.S. Department of Commerce},
+	title = {Irregular Data Revisions},
+	type = {Economic Research Report ER-5,},
+	year = {1983}}
+
+@article{mankiw1986a,
+	author = {Mankiw, N.Gregory and Shapiro, Matthew D.},
+	journal = {Survey of Current Business},
+	pages = {20--25},
+  volume = {66},
+	title = {News or Noise: An Analysis of GNP Revisions},
+	year = {1986}}
+
+@article{trivellato1986a,
+	author = {Trivellato, Ugo and Rettore, Enrice},
+	journal = {Journal of Business and Economic Statistics},
+	pages = {445---453},
+	title = {Preliminary Data Errors and Their Impact on the Forecast Error of Simultaneous-Equations Models},
+	volume = {4},
+	year = {1986}}
+
+@article{clark2009a,
+	author = {Clark, Todd E. and McCracken, Michael W.},
+	journal = {Journal of Business and Economic Statistics},
+	pages = {441---454},
+	title = {Tests of Equal Predictive Ability with Real-Time Data},
+	volume = {27},
+	year = {2009}}
+
+@article{koenig2003a,
+	author = {Koenig, Evan and Dolmas, Sheila and Piger, Jeremy},
+	journal = {Review of Economics and Statistics},
+	pages = {618---628},
+	title = {The Use and Abuse of `Real-Time' Data in Economic Forecasting},
+	volume = {85},
+	year = {2003}}
+
+@article{howrey1978a,
+	author = {Howrey, E.Philip},
+	journal = {Review of Economics and Statistics},
+	pages = {193---200},
+	title = {The Use of Preliminary Data in Econometric Forecasting},
+	volume = {60},
+	year = {1978}}
+
+% Leadingness
+
+@article{yeats1972a,
+	author = {Yeats, A.J.},
+	journal = {Business Economics},
+	pages = {7---11},
+	title = {An Alternative Approach to the Identification of Leading Indicators},
+	volume = {7},
+	year = {1972}}
+
+@article{emerson1996a,
+	author = {Emerson, R.A. and Hendry, D.F.},
+	journal = {Journal of Forecasting},
+	pages = {271---291},
+	title = {An evaluation of forecasting using leading indicators},
+	volume = {15},
+	year = {1996}}
+
+@article{koch1988a,
+	author = {Koch, P. and Rasche, R.H.},
+	journal = {Journal of Business and Economic Statistics},
+	pages = {167---187},
+	title = {An examination of the commerce department leading-indicator approach'},
+	volume = {6},
+	year = {1988}}
+
+@incollection{sargent1977a,
+	author = {Sargent, Thomas and Sims, Christopher},
+	booktitle = {New Methods in Business Cycle Research},
+	pages = {45--109},
+	publisher = {Federal Reserve Bank of Minneapolis},
+	title = {Business cycle modeling without pretending to have too much a priori economic theory},
+	year = {1977}}
+
+@article{engle1987a,
+	author = {Engle, Robert F. and Granger, Clive W.J.},
+	journal = {Econometrica},
+	pages = {251--276},
+  volume = {55},
+	title = {Co-integration and error correction: Representation, estimation, and testing},
+	year = {1987}}
+
+@incollection{shiskin1968a,
+	address = {New York},
+	author = {Shiskin, J. and Moore, G.},
+	booktitle = {Supplement to National Bureau Report One},
+	pages = {1--8},
+	publisher = {NBER},
+	title = {Composite Indexes of Leading, Coinciding and Lagging Indicators, 1948--1967},
+	year = {1968}}
+
+@article{granger1969a,
+	author = {Granger, Clive W.J.},
+	journal = {Econometrica},
+	pages = {424---438},
+	title = {Investigating causal relations by econometric models and cross-spectral methods},
+  volume = {37},
+	year = {1969}}
+
+@book{lahiri1991a,
+	author = {Lahiri, K. and Moore, G.H.},
+	publisher = {Cambridge University Press},
+	title = {Leading economic indicators: New approaches and forecasting records},
+	year = {1992}}
+
+@article{koopmans1947a,
+	author = {Koopmans, T.C.},
+	journal = {Review of Economics and Statistics},
+	pages = {161---179},
+	title = {Measurement without theory},
+	volume = {29},
+	year = {1947}}
+
+@article{StockWatson1989,
+	author = {Stock, James H. and Watson, Mark W.},
+	journal = {NBER Macroeconomics Annual},
+	pages = {351---394},
+	title = {New Indexes of Coincident and Leading Economic Indicators},
+	volume = {4},
+	year = {1989}}
+
+@article{diebold1989a,
+	author = {Diebold, F.X. and Rudebusch, G.D.},
+	journal = {Journal of Business},
+	pages = {369---391},
+	title = {Scoring the leading indicators'},
+	volume = {62},
+	year = {1989}}
+
+@book{mitchell1938a,
+	address = {New York},
+	author = {Mitchell, W. and Burns, A.F.},
+	publisher = {NBER Bulletin 69},
+	title = {Statistical Indicators of Cyclical Revivals},
+	year = {1938}}
+
+@article{auerbach1982a,
+	author = {Auerbach, A.J.},
+	journal = {Review of Economics and Statistics},
+	pages = {589---595},
+	title = {The index of leading indicators: Measurement without theory thirty-five years later'},
+	volume = {64},
+	year = {1982}}
+
+@article{hamilton1996a,
+	author = {Hamilton, James D. and Perez-Quiros, Gabriel},
+	journal = {The Journal of Business},
+	pages = {27---49},
+	title = {What Do the Leading Indicators Lead?},
+	volume = {69},
+	year = {1996}}
+
+@article{ioannidis2020a,
+  author = {Ioannidis, J.P.A. and Cripps, S. and Tanner, M.A.},
+  title = {Forecasting for COVID-19 has failed},
+    year = {2020},
+  volume = {10},
+  doi = {10.1016/j.ijforecast.2020.08.004},
+    journal = {International Journal of Forecasting}
+}
+
+@article{chakraborty2018know,
+  title={What to know before forecasting the flu},
+  author={Chakraborty, Prithwish and Lewis, Bryan and Eubank, Stephen and Brownstein, John S and Marathe, Madhav and Ramakrishnan, Naren},
+  journal={PLoS computational biology},
+  volume={14},
+  number={10},
+  pages={e1005964},
+  year={2018},
+  publisher={Public Library of Science San Francisco, CA USA}
 }

forecast/code/deprecated/compare-baselines.R

@@ -0,0 +1,78 @@
+library(evalcast)
+library(covidcast)
+library(tidyverse)
+library(aws.s3)
+Sys.setenv("AWS_DEFAULT_REGION" = "us-east-2")
+s3bucket <- get_bucket("forecast-eval")
+
+
+# Point to the data Addison sent
+ours <- readRDS(here::here("data", "results_honest_states.RDS"))
+baseline <- ours %>% filter(forecaster == "Baseline") %>%
+  select(-forecaster) %>% rename(strawman_wis = wis)
+
+# these are epiweek / num
+bpreds <- s3readRDS("predictions_cards.rds", s3bucket) %>%
+  filter(forecaster == "COVIDhub-baseline", 
+         signal == "confirmed_incidence_num",
+         forecast_date < "2021-01-01", 
+         ahead %in% 1:4,
+         !(geo_value %in% c("as", "gu", "pr", "vi", "mp", "us")))
+
+# trying with the prop signal, since that's what we use
+actuals <- covidcast_signal("jhu-csse", "confirmed_7dav_incidence_prop", 
+                            end_day = "2021-02-01", geo_type = "state", 
+                            as_of = "2021-05-18") %>% 
+  select(geo_value, time_value, value) %>%
+  rename(target_end_date = time_value, actual = value)
+
+# Population / 100,000
+pop <- covidcast::state_census %>% select(ABBR, POPESTIMATE2019) %>%
+  mutate(geo_value = tolower(ABBR), POPESTIMATE2019 = POPESTIMATE2019 / 1e5) %>% 
+  select(-ABBR)
+
+# Scale epiweek total to daily prop
+bpreds2 <- left_join(bpreds, pop) %>% 
+  mutate(value = value / (7 * POPESTIMATE2019)) %>%
+  select(-POPESTIMATE2019, -incidence_period)
+
+# Score the Hub Baseline
+bscores <- evaluate_predictions(bpreds2, actuals, 
+                                grp_vars = c("ahead", "forecast_date", "geo_value"),
+                                err_measures = list(wis = weighted_interval_score))
+
+comb <- left_join(bscores %>% 
+                    # submissions made on Monday with Sunday target
+                    mutate(ahead = ahead * 7 - 2, 
+                           forecast_date = target_end_date - ahead) %>%
+                    select(forecast_date, target_end_date, geo_value, wis), 
+                  baseline %>% 
+                    select(forecast_date, target_end_date, geo_value, strawman_wis), 
+                  by = c("geo_value", "forecast_date", "target_end_date")) %>%
+  filter(!is.na(strawman_wis), !is.na(wis))
+
+
+
+
+ggplot(comb, aes(wis, strawman_wis, color = geo_value)) + 
+  geom_point() + 
+  theme_bw() +
+  theme(legend.position = "none") + 
+  geom_abline(intercept =0, slope = 1) + 
+  scale_x_log10() +
+  scale_y_log10() +
+  xlab("WIS of COVIDhub-baseline") + 
+  ylab("WIS or our baseline") + 
+  coord_equal()
+
+ncomb <- comb %>%
+  mutate(ahead = target_end_date - forecast_date) %>%
+  pivot_longer(contains("wis"), names_to = "forecaster") %>%
+  group_by(forecaster, ahead) %>%
+  summarise(wis  = Mean(value), geo_wis = GeoMean(value)) %>%
+  mutate(forecaster = recode(forecaster, wis = "Hub", strawman_wis = "Ours")) %>%
+  pivot_longer(contains("wis"))
+ggplot(ncomb, aes(as.character(ahead), value, fill = forecaster)) +
+  geom_col(position = "dodge") +
+  facet_wrap(~name)
+