An information theoretic approach to econometrics

DOI10.1017/CBO9781139033848zbMATH Open1281.62240MaRDI QIDQ5388564FDOQ5388564

Ron C. Mittelhammer, George G. Judge

Publication date: 18 April 2012

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zbMATH Keywords

information theoretic econometrics

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Applications of statistics to economics (62P20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Cited In (14)

• A compendium to information theory in economics and econometrics
• Uses of entropy and divergence measures for evaluating econometric approximations and infer\-ence.
• Stress testing correlation matrix: a maximum empirical likelihood approach
• Interval estimation: An information theoretic approach
• Reconstruction methods for networks: the case of economic and financial systems
• A family of empirical likelihood functions and estimators for the binary response model
• Maximum entropy in applied econometric research
• On the State of the Art of Info-metrics
• A statistical test of market efficiency based on information theory
• Title not available (Why is that?)
• \textit{Maxallent}: maximizers of all entropies and uncertainty of uncertainty
• Minimization of the entropy for a mixture of standard and fractional Brownian motions
• Information theory and economic growth models
• Some Recent Developments in Econometric Inference

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