Monthly values of a news-based index of U.S. Economic Policy Uncertainty (EPU) between January 1980 and September
2014, including a binomial and a multinomial example series. For more information on its calculation, see
<a href="http://www.policyuncertainty.com/methodology.html">this</a>. Following columns are present:<ul>
<li>date. Date as <code>"yyyy-mm-01"</code>.</li>
<li>index. A <code>numeric</code> monthly index value.</li>
<li>above. A <code>factor</code> with value <code>"above"</code> if the index is greater than the mean of the entire series, else
 <code>"below"</code>.</li>
<li>aboveMulti. A <code>factor</code> with values <code>"above+"</code>, <code>"above"</code>, <code>"below"</code> and <code>"below-"</code> if the
 index is greater than the 75% quantile and the 50% quantile, or smaller than the 50% quantile and the 25% quantile,
 respectively and in a mutually exclusive sense.</li>
</ul>

datasets

Time series analysis based on textual sentiment, accounting for the intrinsic challenge that sentiment can be computed and pooled across texts and time in many ways. As described in Ardia et al. (2017) <https://ssrn.com/abstract=3067734>, the package provides a means to model the impact of sentiment in texts on a target variable, by first computing a wide range of textual sentiment measures and then selecting those that are most informative.

Samuel Borms

sentometrics

An Integrated Framework for Textual Sentiment Time Series
Aggregation and Prediction

David Ardia

Keven Bluteau

Kris Boudt

epu function

A <code>data.frame</code> with 417 rows and 4 columns.

Format

Monthly values of a news-based index of U.S. Economic Policy Uncertainty (EPU) between January 1980 and September
2014, including a binomial and a multinomial example series. For more information on its calculation, see
<a href='http://www.policyuncertainty.com/methodology.html'>this</a>. Following columns are present:<ul>
<li>date. Date as <code>"yyyy-mm-01"</code>.</li>
<li>index. A <code>numeric</code> monthly index value.</li>
<li>above. A <code>factor</code> with value <code>"above"</code> if the index is greater than the mean of the entire series, else
 <code>"below"</code>.</li>
<li>aboveMulti. A <code>factor</code> with values <code>"above+"</code>, <code>"above"</code>, <code>"below"</code> and <code>"below-"</code> if the
 index is greater than the 75% quantile and the 50% quantile, or smaller than the 50% quantile and the 25% quantile,
 respectively and in a mutually exclusive sense.</li>
</ul>

epu: Monthly Economic Policy Uncertainty Index

Description

Usage

Arguments

Format