An Information Theoretic Approach to Estimation in the Case of Multicollinearity
AbstractWe propose a data-based extremum formulation that extends theempirical-likelihood and information-theoretic methods of estimation andinference. It is demonstrated how this method may be used in a general linearmodel context to mitigate the problem of an ill-conditioned design matrix. Adual loss criterion function, which can be biased in finite samples, producesan estimator that is consistent and asymptotically normal. Limiting chi-squaredistributions are obtained that may be used for hypothesis testing andconfidence intervals. Empirical-risk sampling experiments suggest theestimator has excellent finite-sample properties under a squared error lossmeasure. Copyright Kluwer Academic Publishers 2003
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Society for Computational Economics in its journal Computational Economics.
Volume (Year): 22 (2003)
Issue (Month): 1 (August)
empirical-likelihood; semiparametric models; extended estimating equations; Kullback–Leibler information criterion; Lagrange multiplier; pseudo-likelihood ratio tests;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Mittelhammer R. & Judge G. & van Akkeren M. & Cardell N.S., 2002. "Coordinate Based Empirical Likelihood-Like Estimation in Ill-Conditioned Inverse Problems," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 1108-1121, December.
- Golan, Amos & Judge, George G. & Miller, Douglas, 1996. "Maximum Entropy Econometrics," Staff General Research Papers 1488, Iowa State University, Department of Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.