Sparse HP filter: Finding kinks in the COVID-19 contact rate

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: …