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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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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description 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.
doi_str_mv 10.1016/j.econlet.2019.108874
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source International Bibliography of the Social Sciences (IBSS); ScienceDirect Freedom Collection; PAIS Index
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)
title Wasserstein Index Generation Model: Automatic generation of time-series index with application to Economic Policy Uncertainty
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