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Information Theoretic Estimation of Econometric Functions

Author

Listed:
  • Millie Yi Mao

    (Azusa Pacific University)

  • Aman Ullah

    (Department of Economics, University of California Riverside)

Abstract

This chapter introduces an information theoretic approach to specify econometric functions as an alternative to avoid parametric assumptions. We investigate the performances of the information theoretic method in estimating the regression (conditional mean) and response (derivative) functions. We have demonstrated that they are easy to implement, and are advantageous over parametric models and nonparametric kernel techniques.

Suggested Citation

  • Millie Yi Mao & Aman Ullah, 2019. "Information Theoretic Estimation of Econometric Functions," Working Papers 201923, University of California at Riverside, Department of Economics.
    • Handle: RePEc:ucr:wpaper:201923
    as

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    File URL: https://economics.ucr.edu/repec/ucr/wpaper/201923.pdf
    File Function: First version, 2019
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    References listed on IDEAS

    as
    1. Zellner, Arnold & Highfield, Richard A., 1988. "Calculation of maximum entropy distributions and approximation of marginalposterior distributions," Journal of Econometrics, Elsevier, vol. 37(2), pages 195-209, February.
    2. Henderson,Daniel J. & Parmeter,Christopher F., 2015. "Applied Nonparametric Econometrics," Cambridge Books, Cambridge University Press, number 9780521279680, September.
    3. Wu, Ximing, 2003. "Calculation of maximum entropy densities with application to income distribution," Journal of Econometrics, Elsevier, vol. 115(2), pages 347-354, August.
    4. Golan, Amos & Judge, George G. & Miller, Douglas, 1996. "Maximum Entropy Econometrics," Staff General Research Papers Archive 1488, Iowa State University, Department of Economics.
    5. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
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    Cited by:

    1. Stöckel, Jannis & Bom, Judith, 2022. "Revisiting longer-term health effects of informal caregiving: Evidence from the UK," The Journal of the Economics of Ageing, Elsevier, vol. 21(C).

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    More about this item

    Keywords

    Information theory; Maximum entropy distributions; Econometric functions; Conditional mean;
    All these keywords.

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