Connections between entropic and linear projections in asset pricing estimation

DOI10.1016/S0304-4076(01)00118-XzbMath1030.62003OpenAlexW3123899259MaRDI QIDQ1858932

Yuichi Kitamura, Michael J. Stutzer

Publication date: 17 February 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(01)00118-x

zbMATH Keywords

entropyinformationlarge deviationsGMMstochastic discount factor

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical aspects of information-theoretic topics (62B10)

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• Maximum entropy and conditional probability
• An Information-Theoretic Alternative to Generalized Method of Moments Estimation
• One-Step Estimators for Over-Identified Generalized Method of Moments Models
• Information Theoretic Approaches to Inference in Moment Condition Models
• Maximum Likelihood Estimation of Misspecified Models

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