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Brexit: Tracking and disentangling the sentiment towards leaving the EU

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  • de Carvalho, Miguel
  • Martos, Gabriel

Abstract

On 23 June, 2016, the UK held a referendum to decide whether to stay in the European Union or leave. The uncertainty surrounding the outcome of this referendum had major consequences for public policy, investment decisions, and currency markets. We discuss some of the subtleties involved in smoothing and disentangling poll data in light of the problem of tracking the dynamics of the intention to Brexit, and propose a multivariate singular spectrum analysis method that produces trendlines on the unit simplex. The trendline yield via multivariate singular spectrum analysis is shown to resemble that of local polynomial smoothing, and singular spectrum analysis presents the nice feature of disentangling the dynamics directly into components that can be interpreted as changes in public opinion or sampling error. The merits and disadvantages of some different approaches for obtaining smooth trendlines on the unit simplex are contrasted, in terms of both local polynomial smoothing and multivariate singular spectrum analysis.

Suggested Citation

  • de Carvalho, Miguel & Martos, Gabriel, 2020. "Brexit: Tracking and disentangling the sentiment towards leaving the EU," International Journal of Forecasting, Elsevier, vol. 36(3), pages 1128-1137.
    • Handle: RePEc:eee:intfor:v:36:y:2020:i:3:p:1128-1137
    DOI: 10.1016/j.ijforecast.2018.07.002
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    References listed on IDEAS

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    1. Golyandina, Nina & Korobeynikov, Anton & Shlemov, Alex & Usevich, Konstantin, 2015. "Multivariate and 2D Extensions of Singular Spectrum Analysis with the Rssa Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 67(i02).
    2. Swati Dhingra & Thomas Sampson, 2016. "Life after Brexit : What are the UK’s options outside the European Union?," CEP Brexit Analysis Papers 01, Centre for Economic Performance, LSE.
    3. Hassani, Hossein & Heravi, Saeed & Zhigljavsky, Anatoly, 2009. "Forecasting European industrial production with singular spectrum analysis," International Journal of Forecasting, Elsevier, vol. 25(1), pages 103-118.
    4. Golyandina, Nina & Korobeynikov, Anton, 2014. "Basic Singular Spectrum Analysis and forecasting with R," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 934-954.
    5. de Carvalho, Miguel & Rua, António, 2017. "Real-time nowcasting the US output gap: Singular spectrum analysis at work," International Journal of Forecasting, Elsevier, vol. 33(1), pages 185-198.
    6. Weixin Yao & Runze Li, 2013. "New local estimation procedure for a non-parametric regression function for longitudinal data," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(1), pages 123-138, January.
    7. Hossein Hassani & Abdol S. Soofi & Anatoly Zhigljavsky, 2013. "Predicting inflation dynamics with singular spectrum analysis," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 176(3), pages 743-760, June.
    8. Jakob Bergman & Björn Holmquist, 2014. "Poll of Polls: A Compositional Loess Model," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(2), pages 301-310, June.
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    1. Miguel de Carvalho & Gabriel Martos, 2022. "Modeling interval trendlines: Symbolic singular spectrum analysis for interval time series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 167-180, January.

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