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

DOI10.1016/J.ECONLET.2019.108874zbMATH Open1429.91248arXiv1908.04369OpenAlexW2967666852MaRDI QIDQ2292829FDOQ2292829

Authors: Fangzhou Xie 

Publication date: 5 February 2020

Published in: Economics Letters (Search for Journal in Brave)

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.

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

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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)

Cites Work

• Wasserstein dictionary learning: optimal transport-based unsupervised nonlinear dictionary learning
• 10.1162/jmlr.2003.3.4-5.993
• Title not available (Why is that?)
• Developing news-based economic policy uncertainty index with unsupervised machine learning

Cited In (1)

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

Uses Software

• word2vec
• PyTorch
• Adam

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