A machine learning approach to domain specific dictionary generation. An economic time series framework

Stellenbosch Working Paper Series No. WP06/2021
 
Publication date: March 2021
 
Author(s):
[protected email address] (Department of Economics, Stellenbosch University)
 
Abstract:

This paper aims to offer an alternative to the manually labour intensive process of constructing a domain specific lexicon or dictionary through the operationalization of subjective information processing. This paper builds on current empirical literature by (a) constructing a domain specific dictionary for various economic confidence indices, (b) introducing a novel weighting schema of text tokens that account for time dependence; and (c) operationalising subjective information processing of text data using machine learning. The results show that sentiment indices constructed from machine generated dictionaries have a better fit with multiple indicators of economic activity than @loughran2011liability's manually constructed dictionary. Analysis shows a lower RMSE for the domain specific dictionaries in a five year holdout sample period from 2012 to 2017. The results also justify the time series weighting design used to overcome the p>>n problem, commonly found when working with economic time series and text data.

 
JEL Classification:

C32, C45, C53, C55

Keywords:

Sentometrics, Machine learning, Domain-specific dictionaries

Notes:

Data download: Generated Dictionaries

Download: PDF (738 KB)

Login

(for staff & registered students)



Need a password?
Forgot your password?

Upcoming Seminars

No seminars are currently listed. Please check back soon.
 
More...

BER Weekly

13 September 2021
It was a data-heavy week in SA, with the 2021Q2 real GDP data indicating that the economy had better-than-expected recovery momentum in the first half of the year. While growth remained solid in the second quarter, both the survey and actual data released last week revealed the significant impact that the range of shocks at the start of the third quarter...

Read the full issue
 

Upcoming Seminars

No seminars are currently listed. Please check back soon.
 
More...

BER Weekly

13 September 2021
It was a data-heavy week in SA, with the 2021Q2 real GDP data indicating that the economy had better-than-expected recovery momentum in the first half of the year. While growth remained solid in the second quarter, both the survey and actual data released last week revealed the significant impact that the range of shocks at the start of the third quarter...

Read the full issue