Next Article in Journal
Fast Feature Selection in a GPU Cluster Using the Delta Test
Next Article in Special Issue
A Relationship between the Ordinary Maximum Entropy Method and the Method of Maximum Entropy in the Mean
Previous Article in Journal
A Note on the W-S Lower Bound of the MEE Estimation
Previous Article in Special Issue
Modelling and Simulation of Seasonal Rainfall Using the Principle of Maximum Entropy
Article Menu

Export Article

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

Generalized Maximum Entropy Analysis of the Linear Simultaneous Equations Model

1
School of Economic Sciences and IMPACT, Washington State University, Pullman, WA 99164, USA
2
School of Economic Sciences and Statistics, Washington State University, Pullman, WA 99164, USA
3
Salford Systems, San Diego, CA 92126, USA
*
Author to whom correspondence should be addressed.
Received: 20 November 2013 / Revised: 17 January 2014 / Accepted: 28 January 2014 / Published: 12 February 2014
(This article belongs to the Special Issue Maximum Entropy and Its Application)
View Full-Text   |   Download PDF [335 KB, 24 February 2015; original version 24 February 2015]

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. View Full-Text
Keywords: robustness; asymptotic normality; consistency; hypothesis testing; Monte Carlo experiments; Wald test robustness; asymptotic normality; consistency; hypothesis testing; Monte Carlo experiments; Wald test
This is an open access article distributed under the Creative Commons Attribution License (CC BY 3.0).

Scifeed alert for new publications

Never miss any articles matching your research from any publisher
  • Get alerts for new papers matching your research
  • Find out the new papers from selected authors
  • Updated daily for 49'000+ journals and 6000+ publishers
  • Define your Scifeed now

SciFeed Share & Cite This Article

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.

Show more citation formats Show less citations formats

Related Articles

Article Metrics

Article Access Statistics

1

Comments

[Return to top]
Entropy EISSN 1099-4300 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top