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

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.

Accepted at Economics Letters, and will be available online soon

References in corpus (1)

• Wasserstein Dictionary Learning: Optimal Transport-based unsupervised non-linear dictionary learning

Cited by in corpus (1)

• Pruned Wasserstein Index Generation Model and wigpy Package