This post is an exciting opportunity to work with leading academics at the Universities of Strathclyde and Warwick on two separate projects funded through ESCoE using time series econometric methods.
The first, involving researchers at the University of Strathclyde, including Professors Gary Koop and Stuart McIntyre as well as Dr James Mitchell from the Federal Reserve Bank of Cleveland will be developing methods for the analysis of regional incomes, and in particular, using some of the latest developments in functional vector autoregression methods. The aim is to produce both more timely estimates of the income distribution, but also to undertake structural analysis to examine the resilience of different parts of the UK to economic shocks. This builds on the work that these researchers have been doing in regional nowcasting over the past 5 years which has produced both research publications in internationally excellent journals and research impact through the adoption of these methods by the ONS.
The second project will involve working with Professors Ana Galvão and Ivan Petrella at the University of Warwick on the development of methods required to analyse and summarize real-time, high-frequency measures of economic activity. This research project also aims to build a weekly index of the UK economic activity using a set of the new ONS real-time economic indicators and some other high and low-frequency measures of economic activity. The methodology will incorporate solutions to accommodate issues such as the presence of outliers and time-varying uncertainty, the short historical length of some time series, and seasonality in the data. This builds on the work that these researchers have been doing in state space models and nowcasting over recent years.
This is a full-time post for 18 months, click here for further details.