Wasserstein index generation model: automatic generation of time-series index with application to economic policy uncertainty

DOI10.1016/J.ECONLET.2019.108874MaRDI QIDQ2292829zbMATH OpenOpenAlexFDO

Authors Fangzhou Xie

Publication date 5 February 2020

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1908.04369

zbMATH Keywords

singular value decomposition (SVD)economic policy uncertainty index (EPU)Wasserstein dictionary learning (WDL)Wasserstein index generation model (WIG)

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

Abstract: 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.

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Cites work

• scientific article; zbMATH DE number 1909499 (Why is no real title available?)
• 10.1162/jmlr.2003.3.4-5.993
• Developing news-based economic policy uncertainty index with unsupervised machine learning
• Wasserstein dictionary learning: optimal transport-based unsupervised nonlinear dictionary learning

Cited in

(1)

• A century of economic policy uncertainty through the French-Canadian Lens

Describes a project that uses

Uses Software

• Adam
• PyTorch
• word2vec

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