2020-07Diskussionspapier DOI: 10.18452/21651
Testing Investment Forecast Efficiency with Textual Data
I use textual data to model German professional macroeconomic forecasters’ information sets and use machine-learning techniques to analyze the efficiency of forecasts. To this end, I extract information from forecast reports using a combination of topic models and word embeddings. I then use this information and traditional macroeconomic predictors to study the efficiency of investment forecasts.
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