Data/hora: 04/06/2024 02:51:35

Provedor de dados: | 31
País: | United States
Título: | LEAST SQUARES AND ENTROPY AS PENALTY FUNCTIONS
Autores: | Preckel,   Paul V.
Data: | 1998-09-09
Ano: | 1998
Palavras-chave: | Entropy; Econometrics; Penalty functions; Estimation; Research Methods/ Statistical Methods.
Resumo: | Mathematical measures of entropy as defined by Shannon (1948) and Kullback and Leibler (1951) are currently in vogue in the field  of econometrics, primarily due to the comprehensive work by  Golan, Judge, and Miller (1996). In this paper, an alternative interpretation of the entropy measure as a penalty function over deviations is presented. Using this interpretation, a number of parallels are drawn with least squares estimators, and it is demonstrated that, with a minor modification of the traditional least squares estimator, both approaches may be applied to the general linear model.  The advantages and disadvantages of each approach are discussed, and a philosophical approach to the selection of estimation technique is suggested.
Tipo: | Working or Discussion Paper
Idioma: | Inglês

Identificador:

931

http://purl.umn.edu/28625

Editor: | AgEcon Search

Relação:

Purdue University&gt;Department of Agricultural Economics&gt;Staff Papers

Staff Paper 98-16

Formato:

13

application/pdf