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A Comparison of the Accuracy of Asymptotic Approximations in the Dynamic Regression Model Using Kullback-Leibler Information

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Author Info
Atukorala, R.
King, M.L.
Abstract

This paper illustrates the use of Kullback-Leibler Information (KLI) measure for assessing the relative quality of two approximations to an unknown distribution from which we ca obtain simple random drawings.

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Publisher Info
Paper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 8/96.

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Length: 16 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:msh:ebswps:1996-8

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Related research
Keywords: REGRESSION ANALYSIS; ECONOMIC MODELS; INFORMATION;

Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods

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