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

Fangzhou Xie

Economics Letters, 2020, vol. 186, issue C

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.

Keywords: Economic Policy Uncertainty Index (EPU); Wasserstein Dictionary Learning (WDL); Singular Value Decomposition (SVD); Wasserstein Index Generation Model (WIG) (search for similar items in EconPapers)
JEL-codes: C80 D80 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.econlet.2019.108874

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