Economics

Information and Entropy Econometrics

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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. It also illustrates the use of these concepts and quantities within the subfield of information and entropy econometrics while paying special attention to the interpretation of these quantities. The relationships between information-theoretic estimators and traditional estimators are dis- cussed throughout the survey. This synthesis shows that in many cases information-theoretic concepts can be incorporated within the traditional likelihood approach and provide additional insights into the data processing and the resulting inference.

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Detail Information

Series Title

Information and Entropy Econometrics

Call Number

-

Publisher

New York : Foundations and Trends., 2008

Collation

1-166

Language

English

ISBN/ISSN

978-1-60198-104-2

Classification

NONE

Content Type

-

Media Type

-

Carrier Type

-

Edition

1st Edtion

Subject(s)

Economics

Specific Detail Info

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Statement of Responsibility

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