Before revision:  This note uses covid indicators to adjust the post-covid\covid data prior to factor estimation. The adjustment preserves the pre-covid variations in the factors estimates. The real activity factor in FRED-MD is estimated to be down nearly four standard deviations in March/April 2020. Using economic and covid factors to generate h step ahead prediction errors, the JLN measure of uncertainty finds covid-19 to be the third most uncertain episode recorded since 1960.
After revision:  This note uses covid indicators to adjust the post-covid\covid data prior to estimation. I find that economic uncertainty remains high at the end of 2020 even though real economic activity has recovered and