A Monte Carlo study of the effect of design characteristics on the inequality restricted maximum entropy estimator
AbstractIn this paper, we conduct a set of Monte Carlo sampling experiments to examine the effect of design characteristics on the inequality restricted maximum entropy (RME) estimator. We generate data under varying design characteristics, and estimate the parameters using maximum entropy and least squares estimation, both with and without parameter inequality restrictions. As part of the experimental design we vary the sample size, the distribution of the regressors, the distribution of the errors, the degree of collinearity, the signal-to-noise ratio, and the specification error. We compare the alternative estimators on the basis of mean square error.
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Bibliographic InfoArticle provided by Review of Applied Economics in its journal Review of Applied Economics.
Volume (Year): 1 (2005)
Issue (Month): 1 ()
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Maximum Entropy; Generalized Maximum Entropy; Linear Inequality Restrictions; Research and Development/Tech Change/Emerging Technologies; Research Methods/ Statistical Methods; C13; C14; C49;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
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