Wasserstein Index Generation Model: Automatic Generation of Time-series Index with Application to Economic Policy Uncertainty
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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.
Date: 2019-08, Revised 2019-11
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1908.04369
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