Maximum entropy econometrics: robust estimation with limited data

By Amos Golan, G. Judge, Douglas J. Miller. 1996

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Citations in the corpus

Comparison of maximum entropy and higher-order entropy estimators (2002, methodology): “The generalized maximum entropy (GME) estimation method (Golan, Judge, and Miller, 1996) has been widely used for linear and nonlinear estimation models.”
Estimating regional variations of R&D effects on productivity growth by entropy econometrics (2009, background): “In Golan et al. (1996) or Kapur and Kesavan (1992) extensive descriptions of the entropy estimation approach can be found.”
Entropy Densities: With an Application to Autoregressive Conditional Skewness and Kurtosis (2002, methodology): “Golan et al. (1996). At a practical level, entropy-based applications still appear to be scarce but for a few exceptions such as Zellner and High,eld”
Comparing generalised maximum entropy and partial least squares methods for structural equation models (2009, methodology): “The generalised maximum entropy (GME) [1] estimation method has been widely used for the estimation of general linear models.”
Measurement Error Models (2000, background): “…1994; Brockett 1991; Brockett, Charnes, Cooper, Learner, and Phillips 1995; Burnham and Anderson 1998; Cover and Thomas 1991; Fomby and Hill 1997; Golan, Judge, and Miller 1996; Kapur 1989; Maasoumi 1993; Pourahmadi and Soofi 2000; Soofi 1994; Soofi, Ebrahimi, and Habibullah 1995; Theil and…”
A new frontier approach to model the eco-efficiency in European countries (2015, methodology): “Golan et al. (1996) generalized the ME, as well as the cross-entropy (CE) formalism, and developed the generalized maximum entropy (GME) and generalized cross-entropy (GCE) estimators, which can be used in models exhibiting collinearity, in models with small samples sizes (micronumerosity) and…”
Pricing American Options by Simulation Using a Stochastic Mesh with Optimized Weights (2000, background): “Solving the rest of the constraints given by (8), therefore, amounts to minimizing the following function with respect to 's ([8]):”
China's Income Distribution, 19852001 (2005, unknown): “The level and the dispersion of the urban income (right panel of Figure 3) rose more rapidly than in rural areas (left panel).”
GMM estimation of a maximum entropy distribution with interval data (2007, methodology): “…distribution, one can show that the GMM estimator converges to the MLE asymptotically as the Kullback-Leibler distance approaches zero (see for example Golan, Judge, and Miller, 1996, for a discussion of the duality between these two approaches for likelihood function defined over the exponential…”
Estimating the Number of Crimes Averted by Incapacitation: An Information Theoretic Approach (2007, background): “Journal of Econometrics (Vol 107, Issues 1&2), Chapter 13 of Mittelhammer et al. (2000), Fomby and Hill (1997), and the Golan et al. (1996) monograph.”
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”
Calculation of maximum entropy densities with application to income distribution (2003, unknown): “One way to solve the maxent problem is to transform the constrained optimization problem into an unconstrained optimization problem using the dual approach (Golan et al., 1996).”