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URL :  Information and Entropy Econometrics
Author : Amos Golan
Detail : eBook Edition: 2008

The overall objectives of this review and synthesis are to study the basics of information-theoretic methods in econometrics, to examine the connecting theme among these methods, and to provide a more detailed summary and synthesis of the sub-class of methods that treat the observed sample moments as stochastic. Within the above objectives, this review focuses on studying the inter-connection between information theory, estimation, and inference. To achieve these objectives, it provides a detailed survey of information-theoretic concepts and quantities used within econometrics.

eBook Contents

Introductory Statement, Motivation, and Objective - Historical Perspective - Information and Entropy Background, Definitions, and Examples - The Classical Maximum Entropy Principle – Information, Theoretic Methods of Estimation I: Basics and Zero Moments – Information, Theoretic Methods of Estimation II: Stochastic Moments - IT, Likelihood and Inference, Synthesis via a Discrete Choice, Matrix Balancing Example - Concluding Remarks and Related Work Not Surveyed - References

eBook License: Copyrighted (Personal Use Only)

Free PDF eBook - 803 Kb - 148 pages
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