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The entropy concept was developed and used by Shannon in 1940 as a measure of uncertainty in the context of information theory. In 1957 Jaynes made use of Shannon's entropy concept as a basis for estimation and inference in problems that are ill-suited for traditional statistical procedures. This volume consists of two sections. The first section contains papers developing econometric methods based on the entropy principle. An interesting array of applications is presented in the second section of the volume.
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Econometrics --- Inference --- Econométrie --- Inférence (Logique) --- Econométrie --- Inférence (Logique)
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This volume is the result of an Advances in Econometrics conference held in November of 2002 at Louisiana State University in recognition of Halbert White's pioneering work published in Econometrica in 1980 and 1982 on robust variance-covariance estimation and quasi-maximum likelihood estimation. It contains 11 papers on a range of related topics including the estimation of possibly misspecified error component and fixed effects panel models, estimation and inference in possibly misspecified quantile regression models, quasi-maximum likelihood estimation of linear regression models with bounded and symmetric errors and quasi-maximum likelihood estimation of models with parameter dependencies between the mean vector and error variance-covariance matrix. Other topics include GMM, HAC, Heckit, asymmetric GARCH, Cross-Entropy, and multivariate deterministic trend estimation and testing under various possible misspecifications.
Mathematical statistics --- 330.115 --- 330.115 Econometrie --- Econometrie --- Econometric models --- Econometrics --- Economics, Mathematical --- Statistics --- Mathematical models --- Econometrics. --- Econometric models. --- Business & Economics
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Econometrics --- Regression analysis --- Research --- AA / International- internationaal --- 305.970 --- 304.0 --- Algemeenheden: Autoregression and moving average representation. ARIMA. ARMAX. Lagrange multiplier. Wald. Function (mis) specification. Autocorrelation. Homoscedasticity. Heteroscedasticity. ARCH. GARCH. Integration and co-integration. Unit roots --- Zuivere statistische analyse (algemene naslagwerken). Tijdreeksen --- Econometrics - Research --- Regression analysis - Research
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