Advanced Search
MyIDEAS: Login to save this article or follow this journal

An Information Theoretic Approach to Estimation in the Case of Multicollinearity

Contents:

Author Info

  • Marco van Akkeren
Registered author(s):

    Abstract

    We 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 Info

    If 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.
    File URL: http://hdl.handle.net/10.1023/A:1024571428545
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Society for Computational Economics in its journal Computational Economics.

    Volume (Year): 22 (2003)
    Issue (Month): 1 (August)
    Pages: 1-22

    as in new window
    Handle: RePEc:kap:compec:v:22:y:2003:i:1:p:1-22

    Contact details of provider:
    Web page: http://www.springerlink.com/link.asp?id=100248
    More information through EDIRC

    Related research

    Keywords: empirical-likelihood; semiparametric models; extended estimating equations; Kullback–Leibler information criterion; Lagrange multiplier; pseudo-likelihood ratio tests;

    References

    References listed on IDEAS
    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.:
    as in new window
    1. 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.
    2. Golan, Amos & Judge, George G. & Miller, Douglas, 1996. "Maximum Entropy Econometrics," Staff General Research Papers 1488, Iowa State University, Department of Economics.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:kap:compec:v:22:y:2003:i:1:p:1-22. See general information about how to correct material in RePEc.

    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 you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.