Maximum Entropy Econometrics: Robust Estimation with Limited Data
Amos Golan, George G. Judge, Douglas MillerISBN: 0471953113;
In the theory and practice of econometrics the model, the method and the data are all interdependent links in information recovery-estimation and inference. Seldom, however, are the economic and statistical models correctly specified, the data complete or capable of being replicated, the estimation rules ?optimal and the inferences free of distortion. Faced with these problems, Maximum Entropy Economeirics provides a new basis for learning from economic and statistical models that may be non-regularin the sense that they are ill-posed or underdetermined and the data are partial or incomplete. By extending the maximum entropy formalisms used in the physical sciences, the authors present a new set of generalized entropy techniques designed to recoverinformation about economic systems. The authors compare the generalized entropy techniques with the performance of the relevant traditional methods of information recovery and clearly demonstrate theories with applications including ...
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