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A Structural-Equation Gme Estimator

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  • Marsh, Thomas L.
  • Mittelhammer, Ronald C.
  • Cardell, N. Scott

Abstract

A generalized maximum entropy estimator is developed for the linear simultaneous equations systems model. We provide results on large and small sample properties of the estimator. Empirical results illustrate efficiency advantages of the generalized maximum entropy estimator proposed in this study over traditional estimators (e.g., 2SLS and 3SLS).

Suggested Citation

  • Marsh, Thomas L. & Mittelhammer, Ronald C. & Cardell, N. Scott, 1998. "A Structural-Equation Gme Estimator," 1998 Annual meeting, August 2-5, Salt Lake City, UT 20890, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea98:20890
    DOI: 10.22004/ag.econ.20890
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    References listed on IDEAS

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    1. Golan, Amos & Judge, George G. & Miller, Douglas, 1996. "Maximum Entropy Econometrics," Staff General Research Papers Archive 1488, Iowa State University, Department of Economics.
    2. Miller, D. & Golan, Amos & Judge, G., 1998. "Information Recovery in Simultaneous Equation Statistical Models," Staff General Research Papers Archive 1319, Iowa State University, Department of Economics.
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    Cited by:

    1. Esteban Fernández-Vázquez & Matías Mayor-Fernández & Jorge Rodríguez-Vález, 2009. "Estimating Spatial Autoregressive Models by GME-GCE Techniques," International Regional Science Review, , vol. 32(2), pages 148-172, April.
    2. K. Balcombe & G. Rapsomanikis & S. Klonaris, 2003. "Cross Entropy Estimation of the Almost Ideal Demand System for Greek Consumption," Journal of Agricultural Economics, Wiley Blackwell, vol. 54(3), pages 447-466, November.
    3. Balcombe, Kelvin, 2006. "Cross-Entropy Estimation of Linear Cointegrated Equations," MPRA Paper 15100, University Library of Munich, Germany.
    4. Peeters, Ludo & Surry, Yves R., 2003. "Farm Cost Allocation Based on the Maximum Entropy Methodology - The Case of Saskatchewan Crop Farms," Economic and Market Information 54461, Agriculture and Agri-Food Canada.

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