Cross-Entropy Estimation of Linear Cointegrated Equations
AbstractThe cross-entropy approach is extended to the estimation of cointegrated equations. The entropy estimators for an appropriately constructed moment form, are asymptotically equivalent to Fully Modi�ed estimators since they converge to these estimates su¢ ciently quickly. The performance of the entropy estimators are examined by using some Monte Carlo trials, and in an applied example for the estimation of a production function for South African agriculture.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 15100.
Date of creation: 29 Jan 2006
Date of revision:
Entropy; Fully Modified; Cointegration;
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- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
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