An application of General Maximum Entropy to Utility
AbstractMethodologies related with information theory have been increasingly used in studies in economics and management. In this paper we use Generalized Maximum Entropy as an alternative to the Ordinary Least Squares in the estimation of utility functions. We estimated linear, logarithmic and power utility functions as well as confidence intervals and in order to compare both methodologies. Results point to the greater accuracy of Generalized Maximum Entropy. Linear function seems to be the one with best goodness of fit.
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Bibliographic InfoPaper provided by University of Evora, CEFAGE-UE (Portugal) in its series CEFAGE-UE Working Papers with number 2012_18.
Length: 30 pages
Date of creation: 2012
Date of revision:
generalized maximum entropy; prior; linera function; power function; logarithmic function.;
Find related papers by JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
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