Inequality restricted maximum entropy estimation using Stata
AbstractWe use Stata to obtain the linear maximum entropy estimator developed by Golan, Judge and Miller (1996). We use the STATA optimize function to illustrate maximum entropy estimation in an unrestricted linear regression model. Next, we estimate the model with parameter inequality restrictions to replicate the Monte Carlo experiments in Campbell and Hill (2006). 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.
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Bibliographic InfoPaper provided by Stata Users Group in its series 2013 Stata Conference with number 20.
Date of creation: 01 Aug 2013
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-08-05 (All new papers)
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