ISBN-10:
0471953113
ISBN-13:
9780471953111
Pub. Date:
04/19/1996
Publisher:
Wiley
Maximum Entropy Econometrics: Robust Estimation with Limited Data / Edition 1

Maximum Entropy Econometrics: Robust Estimation with Limited Data / Edition 1

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Product Details

ISBN-13: 9780471953111
Publisher: Wiley
Publication date: 04/19/1996
Series: Financial Economics and Quantitative Analysis Series , #16
Pages: 324
Product dimensions: 6.12(w) x 9.29(h) x 0.96(d)

About the Author

Amos Golan is a professor of economics and directs the Info-Metrics Institute at American University. He is also an External Professor at the Santa Fe Institute and a Senior Associate at Pembroke College, Oxford. His research is primarily in the interdisciplinary field of info-metrics - the science and practice of information processing, modeling, inference, and problem solving with insufficient information. He has published in economics, econometrics, statistics, mathematics, physics and philosophy journals. His books include Maximum Entropy Econometrics: Robust Estimation with Limited Data (coauthored with Judge and Miller) and Information and Entropy Econometrics - A Review and Synthesis.

Table of Contents

The Classical Maximum Entropy Formalism: A Review.

PURE INVERSE PROBLEMS.

Basic Maximum Entropy Principle: Formulation and Extensions.

Formulation and Solution of Pure Inverse Problems.

Generalized Pure Inverse Problems.

LINEAR INVERSE PROBLEMS WITH NOISE.

Generalized Maximum Entropy (GME) and Cross-Entropy (GCE)Formulations.

Finite Sample Extensions of GME-GCE.

GENERAL LINEAR MODEL APPLICATIONS OF GME-GCE.

GME-GCE Solutions to Ill-conditioned Problems.

General Linear Statistical Model with a Non-scalar IdentityCovariance Matrix Statistical Model Selection.

A SYSTEM OF ECONOMIC STATISTICAL RELATIONS.

Sets of Linear Statistical Models.

Simultaneous Equations Statistical Model.

LINEAR AND NON-LINEAR DYNAMIC SYSTEMS.

Estimation and Inference of Dynamic Linear Inverse Problems.

Linear and Non-linear Dynamic Systems with Control.

DISCRETE CHOICE-CENSORED PROBLEMS.

Recovering Information from Multinomial Response Data.

Recovering Information from Censored Response Data.

COMPUTATIONAL NOTES.

Computing GME-GCE Solutions.

Epilogue.

Selected Reading.

Index.

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