|
Activity Number:
|
130
- Time Series Data, Trend Analysis, and Repeated Measures
|
|
Type:
|
Contributed
|
|
Date/Time:
|
Monday, July 30, 2018 : 8:30 AM to 10:20 AM
|
|
Sponsor:
|
Government Statistics Section
|
|
Abstract #330470
|
Presentation
|
|
Title:
|
Anticipating Brexit Effects; a Multivariate Approach to Detecting Change Points
|
|
Author(s):
|
Charlotte Gaughan*
|
|
Companies:
|
Office for National Statistics
|
|
Keywords:
|
Brexit;
Revisions;
Change point ;
Lead indicators;
Time Series
|
|
Abstract:
|
The outcome of the European Union referendum and the exiting of the United Kingdom from the EU could have a widespread impact on economic time series. We aim to anticipate the effects utilising a lead indicator approach. Potential indicator series for key economic series are identified and tested for correlation. Change point detection is utilised to identify historic periods of change to test the effectiveness of the indicator series. A lead indicator model is created and tested by nowcasting the economic series during the periods of change identified. We then use this model to nowcast 18 months since the referendum, and compare this to unrevised data, assessing whether revisions to data are reduced.
|
Authors who are presenting talks have a * after their name.
Back to the full JSM 2018 program
|
