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A Monte Carlo study of the effect of design characteristics on the inequality restricted maximum entropy estimator

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  • Campbell, Randall C.
  • Hill, R. Carter

Abstract

In this paper, we conduct a set of Monte Carlo sampling experiments to examine the effect of design characteristics on the inequality restricted maximum entropy (RME) estimator. We generate data under varying design characteristics, and estimate the parameters using maximum entropy and least squares estimation, both with and without parameter inequality restrictions. As part of the experimental design we vary the sample size, the distribution of the regressors, the distribution of the errors, the degree of collinearity, the signal-to-noise ratio, and the specification error. We compare the alternative estimators on the basis of mean square error.

Suggested Citation

  • Campbell, Randall C. & Hill, R. Carter, 2005. "A Monte Carlo study of the effect of design characteristics on the inequality restricted maximum entropy estimator," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 1(1), pages 1-30, June.
    • Handle: RePEc:ags:reapec:143485
    DOI: 10.22004/ag.econ.143485
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    References listed on IDEAS

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    1. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
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    3. Shen, Edward Z. & Perloff, Jeffrey M., 2001. "Maximum entropy and Bayesian approaches to the ratio problem," Journal of Econometrics, Elsevier, vol. 104(2), pages 289-313, September.
    4. Judge, G. G. & Hill, R. Carter & Bock, M. E., 1990. "An adaptive empirical Bayes estimator of the multivariate normal mean under quadratic loss," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 189-213.
    5. Golan, Amos & Judge, George G. & Miller, Douglas, 1996. "Maximum Entropy Econometrics," Staff General Research Papers Archive 1488, Iowa State University, Department of Economics.
    6. Iain Fraser, 2000. "An application of maximum entropy estimation: the demand for meat in the United Kingdom," Applied Economics, Taylor & Francis Journals, vol. 32(1), pages 45-59.
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    Cited by:

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    3. Ricardo Troncoso Sepúlveda & Claudio Parés Bengoechea, 2018. "Estimación de la migración de votantes y ubicación de coaliciones políticas usando máxima entropía generalizada. Evidencia en Chile (2001-2013)," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, vol. 37(74), pages 495-522, July.

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