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Cross-Entropy Estimation of Linear Cointegrated Equations

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  • Balcombe, Kelvin

Abstract

The cross-entropy approach is extended to the estimation of cointegrated equations. The entropy estimators for an appropriately constructed moment form, are asymptotically equivalent to Fully Modi�ed estimators since they converge to these estimates su¢ ciently quickly. The performance of the entropy estimators are examined by using some Monte Carlo trials, and in an applied example for the estimation of a production function for South African agriculture.

Suggested Citation

  • Balcombe, Kelvin, 2006. "Cross-Entropy Estimation of Linear Cointegrated Equations," MPRA Paper 15100, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:15100
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    File URL: https://mpra.ub.uni-muenchen.de/15100/1/MPRA_paper_15100.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Entropy; Fully Modified; Cointegration;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

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