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Información y entropía en economía

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  • Álvaro Montenegro

Abstract

Este artículo explora algunos conceptos de la teoría de la información que se desarrollaron inicialmente en física e ingeniería y que hoy se emplean en muchas disciplinas. La información es inversamente proporcional a la probabilidad de ocurrencia de un evento y la entropía el valor esperado de la información. Algunas aplicaciones económicas de estos conceptos se encuentran en la derivación del coeficiente de desigualdad de Theil, del criterio de información de Akaike y en el método de estimación por máxima entropía. El concepto de información también se aplica en el análisis estadístico de cifras financieras. Se presenta una ilustración empírica de la predicción de los precios bursátiles.

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File URL: http://www.uexternado.edu.co/facecono/ecoinstitucional/workingpapers/amontenegro25.pdf
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Bibliographic Info

Article provided by Universidad Externado de Colombia - Facultad de Economía in its journal Revista de Economía Institucional.

Volume (Year): 13 (2011)
Issue (Month): 25 (July-December)
Pages: 199-221

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Handle: RePEc:rei:ecoins:v:13:y:2011:i:25:p:199-221

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Keywords: teoría de la información; entropía; mensajes; economía; econometría;

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  1. Eruygur, H. Ozan, 2005. "Generalized maximum entropy (GME) estimator: formulation and a monte carlo study," MPRA Paper 12459, University Library of Munich, Germany.
  2. Morley, Samuel & Robinson, Sherman & Harris, Rebecca Lee, 1998. "Estimating income mobility in Colombia using maximum entropy econometrics.:," TMD discussion papers 26, International Food Policy Research Institute (IFPRI).
  3. Colin Cameron, A. & Windmeijer, Frank A. G., 1997. "An R-squared measure of goodness of fit for some common nonlinear regression models," Journal of Econometrics, Elsevier, vol. 77(2), pages 329-342, April.
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