Wasserstein Index Generation Model: Automatic Generation of Time-series Index with Application to Economic Policy Uncertainty

Published in Economics Letters, 2020

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.

Elsevier arxiv

Citation in APA:

Xie, F. (2020). Wasserstein Index Generation Model: Automatic generation of time-series index with application to Economic Policy Uncertainty. Economics Letters, 186, 108874.

Citation in bibtex:
@article{xie2020,
  title = {Wasserstein {{Index Generation Model}}: {{Automatic}} Generation of Time-Series Index with Application to {{Economic Policy Uncertainty}}},
  shorttitle = {Wasserstein {{Index Generation Model}}},
  author = {Xie, Fangzhou},
  year = {2020},
  volume = {186},
  pages = {108874},
  issn = {0165-1765},
  doi = {10.1016/j.econlet.2019.108874},
  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.},
  journal = {Economics Letters},
  keywords = {Economic Policy Uncertainty Index (EPU),Singular Value Decomposition (SVD),Wasserstein Dictionary Learning (WDL),Wasserstein Index Generation Model (WIG)},
  language = {en}
}

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