Connections Between Entropic and Linear Projections in Asset Pricing Estimation

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Portfolio Choice with Endogenous Utility: A Large Deviations Approach (2003, unknown): “Alternatively, it may be possible to :nd an eKcient nonparametric estimator for (12) and (13) by utilizing the smoothing technique exposited in Kitamura and Stutzer (1997, 2002) to estimate the expectation in (12).”
Assessing misspecified asset pricing models with empirical likelihood estimators (2012, unknown): “…and that possess good properties analogous to those of parametric likelihood procedures (see Kitamura, 2001, 2006).2 In particular, Stutzer (1995) and Kitamura and Stutzer (2002) have suggested the use of relative entropy to develop a research program that parallels that of HJ (1991, 1997).”
Accompanying document to "Point Estimation with Exponentially Tilted Empirical Likelihood" (2005, background): “raints imposed by the model. Entropy maximization has a long history as a device to construct distributions which properly model lack of prior information under a set of known constraints (see, e.g., [12, 17, 36, 38, 60]). ETEL thus combines the well-established concept of entropy maximization to ha”
Information and Entropy Econometrics - A Review and Synthesis (2008, background): “For early applications in econometrics see Stutzer (2000, 2003a,b,c), Kitamura and Stutzer (2002) and Kitamura (2006).”