Text Selection

Bryan Kelly, Asaf Manela and Alan Moreira

Journal of Business & Economic Statistics, 2021, vol. 39, issue 4, 859-879

Abstract: Text data is ultra-high dimensional, which makes machine learning techniques indispensable for textual analysis. Text is often selected—journalists, speechwriters, and others craft messages to target their audiences’ limited attention. We develop an economically motivated high-dimensional selection model that improves learning from text (and from sparse counts data more generally). Our model is especially useful when the choice to include a phrase is more interesting than the choice of how frequently to repeat it. It allows for parallel estimation, making it computationally scalable. A first application revisits the partisanship of the U.S. congressional speech. We find that earlier spikes in partisanship manifested in increased repetition of different phrases, whereas the upward trend starting in the 1990s is due to distinct phrase selection. Additional applications show how our model can backcast, nowcast, and forecast macroeconomic indicators using newspaper text, and that it substantially improves out-of-sample fit relative to alternative approaches.

Date: 2021
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DOI: 10.1080/07350015.2021.1947843

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