|
|
|
|
Information and Entropy Econometrics -- A Review and Synthesis
Foundations and Trends® in
Econometrics
Volume 2 Issue 1–2
DOI: 10.1561/0800000004
Information and Entropy Econometrics -- A Review and Synthesis
Amos Golan
Department of Economics, American University, 4400 Massachusetts Avenue, NW Washington, DC 20016-8029, USA, agolan@american.edu
SUGGESTED CITATION:
Amos
Golan
(2008)
"Information and Entropy Econometrics — A Review and Synthesis",
Foundations and Trends® in Econometrics: Vol. 2: No 1–2, pp 1-145.
http:/dx.doi.org/10.1561/0800000004
Abstract
The overall objectives of this review and synthesis are to study the basics of information-theoretic methods in econometrics,
to examine the connecting theme among these methods, and to provide a more detailed summary and synthesis of the sub-class
of methods that treat the observed sample moments as stochastic. Within the above objectives, this review focuses on studying
the inter-connection between information theory, estimation, and inference. To achieve these objectives, it provides a detailed
survey of information-theoretic concepts and quantities used within econometrics. It also illustrates the use of these concepts
and quantities within the subfield of information and entropy econometrics while paying special attention to the interpretation
of these quantities. The relationships between information-theoretic estimators and traditional estimators are discussed throughout
the survey. This synthesis shows that in many cases information-theoretic concepts can be incorporated within the traditional
likelihood approach and provide additional insights into the data processing and the resulting inference.
Keywords:
| Empirical likelihood; entropy, generalized entropy; information; information theoretic estimation methods; likelihood; maximum
entropy; stochastic moments.
|
JEL codes:
|
|
|
|
|
|
|
|
|