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Adaptive Truncated Estimaton Applied To Maximum Entropy

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  • Marsh, Thomas L.
  • Mittelhammer, Ronald C.

Abstract

An adaptive estimator is proposed to optimally estimate unknown truncation points of the error support space for the general linear model. The adaptive estimator is specified analytically to minimize a risk function based on the squared error loss measure. It is then empirically applied to a generalized maximum entropy estimator of the linear model using bootstrapping, allowing the information set of the model itself to determine the truncation points. Monte Carlo simulations are used to demonstrate performance of the adaptive entropy estimator relative to maximum entropy estimation coupled with alternative truncation rules and to ordinary least squares estimation. A food demand application is included to demonstrate practical implementation of the adaptive estimator.

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Bibliographic Info

Paper provided by Western Agricultural Economics Association in its series 2001 Annual Meeting, July 8-11, 2001, Logan, Utah with number 36169.

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Date of creation: 2001
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Handle: RePEc:ags:waealo:36169

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Web page: http://waeaonline.org/
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Keywords: Research Methods/ Statistical Methods;

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  1. Koenker, Roger & Machado, José A.F. & Skeels, Christopher L. & Welsh, Alan H., 1994. "Momentary Lapses: Moment Expansions and the Robustness of Minimum Distance Estimation," Econometric Theory, Cambridge University Press, vol. 10(01), pages 172-197, March.
  2. Guido W. Imbens & Richard H. Spady & Phillip Johnson, 1998. "Information Theoretic Approaches to Inference in Moment Condition Models," Econometrica, Econometric Society, Econometric Society, vol. 66(2), pages 333-358, March.
  3. Iain Fraser, 2000. "An application of maximum entropy estimation: the demand for meat in the United Kingdom," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 32(1), pages 45-59.
  4. Golan, Amos & Judge, George G. & Miller, Douglas, 1996. "Maximum Entropy Econometrics," Staff General Research Papers 1488, Iowa State University, Department of Economics.
  5. Alice Nakamura & Masao Nakamura, 1983. "Part-Time and Full-Time Work Behaviour of Married Women: A Model with a Doubly Truncated Dependent Variable," Canadian Journal of Economics, Canadian Economics Association, vol. 16(2), pages 229-57, May.
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