Thanasis Stengos () (University of Guelph, Canada and The Rimini Centre for Economics Analysis, Rimini, Italy.) Ximing Wu† () (Texas A&M University, USA and University of Guelph, Canada)
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The proposed tests are derived from maximizing the differential entropy subject to moment constraints. By exploiting the equivalence between the Maximum Entropy and Maximum Likelihood estimates of the general exponential family, we can use the conventional Likelihood Ratio, Wald and Lagrange Multiplier testing principles in the maximum entropy framework. In particular we use the Lagrange Multiplier method to derive tests for normality and their asymptotic properties. Monte Carlo evidence suggests that the proposed tests have desirable small sample properties.
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Paper provided by Rimini Centre for Economic Analysis in its series Working Paper Series with number
24-07.
Find related papers by JEL classification: C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Econometric and Statistical Methods; Specific Distributions
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