Monthly news-based U.S. Economic Policy Uncertainty (EPU) index (Baker, Bloom and Davis, 2016). Goes from January 1985
to July 2018, and includes a binomial and a multinomial example series. 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

Optimized prediction based on textual sentiment, accounting for the intrinsic challenge that sentiment can be computed and pooled across texts and time in various ways. See Ardia et al. (2021) <doi:10.18637/jss.v099.i02>.

Samuel Borms

sentometrics

An Integrated Framework for Textual Sentiment Time Series
Aggregation and Prediction

David Ardia

Keven Bluteau

Kris Boudt

Jeroen Van Pelt

Andres Algaba

epu function

A <code>data.frame</code> with 403 rows and 4 columns.

Format

Monthly U.S. Economic Policy Uncertainty index — epu

Monthly U.S. Economic Policy Uncertainty index

epu: Monthly U.S. Economic Policy Uncertainty index

Description

Usage

Arguments

Format

References

Examples