Text as data: a machine learning-based approach to measuring uncertainty

Rickard Nyman; Paul Ormerod

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arXiv · 2006.06457

Text as data: a machine learning-based approach to measuring uncertainty

Rickard Nyman·Paul Ormerod

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Abstract

The Economic Policy Uncertainty index had gained considerable traction with both academics and policy practitioners. Here, we analyse news feed data to construct a simple, general measure of uncertainty in the United States using a highly cited machine learning methodology. Over the period January 1996 through May 2020, we show that the series unequivocally Granger-causes the EPU and there is no Granger-causality in the reverse direction

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Rickard Nyman, Paul Ormerod. 2020-06-11. Text as data: a machine learning-based approach to measuring uncertainty. https://arxiv.org/abs/2006.06457

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