Dynamic Network Poisson Autoregression with Application to COVID-19 Count Data✩
Volume 23, Issue 1 (2025), pp. 208–224
Pub. online: 5 July 2024
Type: Statistical Data Science
Open Access
Open Access
✩
The authors are most grateful to Yoshihisa Baba and two anonymous reviewers for their very helpful comments and suggestions. The first author acknowledges the financial support of the Japan Society for the Promotion of Science (grant number 22KK0022). This work was partially supported by The Hong Kong University of Science and Technology research grant “Risk Analytics and Applications” (grant number SBMDF21BM07). The funding recipient was MKPS.
Received
24 June 2023
24 June 2023
Accepted
12 March 2024
12 March 2024
Published
5 July 2024
5 July 2024
Abstract
There is growing interest in accommodating network structure in panel data models. We consider dynamic network Poisson autoregressive (DN-PAR) models for panel count data, enabling their use in regard to a time-varying network structure. We develop a Bayesian Markov chain Monte Carlo technique for estimating the DN-PAR model, and conduct Monte Carlo experiments to examine the properties of the posterior quantities and compare dynamic and constant network models. The Monte Carlo results indicate that the bias in the DN-PAR models is negligible, while the constant network model suffers from bias when the true network is dynamic. We also suggest an approach for extracting the time-varying network from the data. The empirical results for the count data for confirmed cases of COVID-19 in the United States indicate that the extracted dynamic network models outperform the constant network models in regard to the deviance information criterion and out-of-sample forecasting.
Supplementary material
Supplementary MaterialProgramming code can be found at https://github.com/ManabuAsai/Dynamic_network_poisson.
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