Entropy 2014, 16(2), 825-853; doi:10.3390/e16020825
Article

Generalized Maximum Entropy Analysis of the Linear Simultaneous Equations Model

Received: 20 November 2013; in revised form: 17 January 2014 / Accepted: 28 January 2014 / Published: 12 February 2014
(This article belongs to the Special Issue Maximum Entropy and Its Application)
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Abstract: A generalized maximum entropy estimator is developed for the linear simultaneous equations model. Monte Carlo sampling experiments are used to evaluate the estimator’s performance in small and medium sized samples, suggesting contexts in which the current generalized maximum entropy estimator is superior in mean square error to two and three stage least squares. Analytical results are provided relating to asymptotic properties of the estimator and associated hypothesis testing statistics. Monte Carlo experiments are also used to provide evidence on the power and size of test statistics. An empirical application is included to demonstrate the practical implementation of the estimator.
Keywords: robustness; asymptotic normality; consistency; hypothesis testing; Monte Carlo experiments; Wald test
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MDPI and ACS Style

Marsh, T.L.; Mittelhammer, R.; Cardell, N.S. Generalized Maximum Entropy Analysis of the Linear Simultaneous Equations Model. Entropy 2014, 16, 825-853.

AMA Style

Marsh TL, Mittelhammer R, Cardell NS. Generalized Maximum Entropy Analysis of the Linear Simultaneous Equations Model. Entropy. 2014; 16(2):825-853.

Chicago/Turabian Style

Marsh, Thomas L.; Mittelhammer, Ron; Cardell, Nicholas S. 2014. "Generalized Maximum Entropy Analysis of the Linear Simultaneous Equations Model." Entropy 16, no. 2: 825-853.

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