A) • Use the R package sentometrics available at https://CRAN.R-project.org/pack

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A) • Use the R package sentometrics available at https://CRAN.R-project.org/package=sentometrics. If
you are not familiar with R, simply use the data in the package’s souce folder ‘data/usnews.rda’.
• Replicate the EPU index with the corpus ‘usnews’. Use the approach described in Baker, Bloom and
Davis (2016). Measuring Economic Policy Uncertainty. The Quarterly Journal of Economics 131,
1593-1636, doi: 10.1093/qje/qjw024. See https://www.policyuncertainty.com.
• Write half a page explaining (use LaTeX if you know it):
– What you think about this approach? (What are the pros. and cons.)
– How would you optimally use text data to forecast a financial or macroeconomic variable
B)• Retrieve data from https://jkpfactors.com:
– Region: World;
– Data Frequency: Monthly;
– Theme/Factors: All Factors;
– Weighting: Equal Weighted.
• Retrieve monthly returns of the S&P 500 index. Find the data on the web.
• Choose the latest 24 months and 100 factors of your choice.
• Determine which factor(s) (or combination of factors) best explain the index returns. You can use the
approach(es) of your choice and rely on existing libraries/packages.
• Write half a page to discuss the choice of your method and the results. Use LaTeX if you know it.
• Bonus (if time permits): Apply PCA analysis on the set of factors and discuss the results.

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