Wasserstein Index Generation Model: Automatic generation of time-series index with application to Economic Policy Uncertainty

I propose a novel method, the Wasserstein Index Generation model (WIG), to generate a public sentiment index automatically. To test the model’s effectiveness, an application to generate Economic Policy Uncertainty (EPU) index is showcased. •Automatic time-series index generation as a black-box metho...

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Bibliographic Details
Published in:Economics letters 2020-01, Vol.186, p.108874, Article 108874
Main Author: Xie, Fangzhou
Format: Article
Language:English
Subjects:
Economic policy
Economic Policy Uncertainty Index (EPU)
Indexes
Public opinion
Singular Value Decomposition (SVD)
Time series
Uncertainty
Wasserstein Dictionary Learning (WDL)
Wasserstein Index Generation Model (WIG)
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Summary:I propose a novel method, the Wasserstein Index Generation model (WIG), to generate a public sentiment index automatically. To test the model’s effectiveness, an application to generate Economic Policy Uncertainty (EPU) index is showcased. •Automatic time-series index generation as a black-box method.•Comparable results with existing ones, tested on EPU.•Applicable to any text corpus to produce sentiment indices.
ISSN:0165-1765
1873-7374
DOI:10.1016/j.econlet.2019.108874