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Information indices: unification and applications

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  • Soofi, E. S.
  • Retzer, J. J.

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  • Soofi, E. S. & Retzer, J. J., 2002. "Information indices: unification and applications," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 17-40, March.
    • Handle: RePEc:eee:econom:v:107:y:2002:i:1-2:p:17-40
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    2. Mazzuchi, T.A & Soofi, E.S & Soyer, R, 2000. "Computation of maximum entropy Dirichlet for modeling lifetime data," Computational Statistics & Data Analysis, Elsevier, vol. 32(3-4), pages 361-378, January.
    3. Theil, Henri & Lightburn, Richard O., 1981. "The positive maximum entropy distribution," Economics Letters, Elsevier, vol. 8(1), pages 67-72.
    4. Tinsley, P. A. & Spindt, P. A. & Friar, M. E., 1980. "Indicator and filter attributes of monetary aggregates : A nit-picking case for disaggregation," Journal of Econometrics, Elsevier, vol. 14(1), pages 61-91, September.
    5. Brockett, Patrick L. & Charnes, Abraham & Cooper, William W. & Learner, David & Phillips, Fred Y., 1995. "Information theory as a unifying statistical approach for use in marketing research," European Journal of Operational Research, Elsevier, vol. 84(2), pages 310-329, July.
    6. Clive Granger & Jin‐Lung Lin, 1994. "Using The Mutual Information Coefficient To Identify Lags In Nonlinear Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(4), pages 371-384, July.
    7. Mohsen Pourahmadi & E. S. Soofi, 2000. "Prediction Variance and Information Worth of Observations in Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 21(4), pages 413-434, July.
    8. Peter Hall & Sally Morton, 1993. "On the estimation of entropy," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 45(1), pages 69-88, March.
    9. P. M. Robinson, 1991. "Consistent Nonparametric Entropy-Based Testing," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(3), pages 437-453.
    10. Theil, Henri, 1987. "How many bits of information does an independent variable yield in a multiple regression?," Statistics & Probability Letters, Elsevier, vol. 6(2), pages 107-108, November.
    11. Colin Cameron, A. & Windmeijer, Frank A. G., 1997. "An R-squared measure of goodness of fit for some common nonlinear regression models," Journal of Econometrics, Elsevier, vol. 77(2), pages 329-342, April.
    12. Gokhale, D. V., 1983. "On entropy-based goodness-of-fit tests," Computational Statistics & Data Analysis, Elsevier, vol. 1(1), pages 157-165, March.
    13. Soofi, Ehsan S., 1990. "Effects of collinearity on information about regression coefficients," Journal of Econometrics, Elsevier, vol. 43(3), pages 255-274, March.
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    Cited by:

    1. Scharfenaker, Ellis & dos Santos, Paulo L., 2015. "The distribution and regulation of Tobin’s q," Economics Letters, Elsevier, vol. 137(C), pages 191-194.
    2. Salois, Matthew & Moss, Charles, 2010. "An Information Approach to the Dynamics in Farm Income: Implications for Farmland Markets," MPRA Paper 26850, University Library of Munich, Germany.
    3. Scharfenaker, Ellis, 2020. "Implications of quantal response statistical equilibrium," Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).
    4. Paulo L. dos Santos & Jangho Yang, 2019. "The persistent and informative distribution of returns on capital," Economics and Business Letters, Oviedo University Press, vol. 8(3), pages 156-165.
    5. Samuel Kotz & Johan René van Dorp, 2010. "Generalized Diagonal Band Copulas with Two-Sided Generating Densities," Decision Analysis, INFORMS, vol. 7(2), pages 196-214, June.
    6. Emanuele Citera, 2021. "Stock Returns, Market Trends, and Information Theory: A Statistical Equilibrium Approach," Working Papers 2116, New School for Social Research, Department of Economics.
    7. Retzer, J.J. & Soofi, E.S. & Soyer, R., 2009. "Information importance of predictors: Concept, measures, Bayesian inference, and applications," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2363-2377, April.
    8. Emanuele Citera & Francesco De Pretis, 2023. "An Information Theory Approach to the Stock and Cryptocurrency Market: A Statistical Equilibrium Perspective," Papers 2310.04907, arXiv.org.
    9. M. Laura Donnet & Dave D. Weatherspoon & Charles B. Moss, 2010. "Measuring Food Product Differentiation by Quality Ratings: A Cross‐Entropy Analysis of Specialty Coffee e‐Auctions," Journal of Agricultural Economics, Wiley Blackwell, vol. 61(1), pages 122-137, February.
    10. Golan, Amos, 2002. "Information and Entropy Econometrics--Editor's View," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 1-15, March.
    11. Ellis Scharfenaker, 2022. "Statistical Equilibrium Methods In Analytical Political Economy," Journal of Economic Surveys, Wiley Blackwell, vol. 36(2), pages 276-309, April.
    12. Hadi Alizadeh Noughabi & Albert Vexler, 2016. "An efficient correction to the density-based empirical likelihood ratio goodness-of-fit test for the inverse Gaussian distribution," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(16), pages 2988-3003, December.
    13. Matthew Salois & Charles Moss & Kenneth Erickson, 2012. "Farm income, population and farmland prices: a relative information approach," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 39(2), pages 289-307, April.
    14. Soofi, E.S. & Nystrom, P.C. & Yasai-Ardekani, M., 2009. "Executives' perceived environmental uncertainty shortly after 9/11," Computational Statistics & Data Analysis, Elsevier, vol. 53(9), pages 3502-3515, July.
    15. Stan Lipovetsky & W. Michael Conklin, 2015. "Predictor relative importance and matching regression parameters," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(5), pages 1017-1031, May.
    16. Golan, Amos & Perloff, Jeffrey M., 2002. "Comparison of maximum entropy and higher-order entropy estimators," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 195-211, March.
    17. Jose Alejandro Coronado, 2018. "An Information-Constrained Model for Ultimatum Bargaining," Working Papers 1815, New School for Social Research, Department of Economics.
    18. Ozlem Omer, 2018. "Equilibrium-Disequilibrium Dynamics of the US Housing Market, 2000-2015: A Quantal Response Statistical Equilibrium Approach," Working Papers 1809, New School for Social Research, Department of Economics.
    19. Carpio, Carlos E. & Sydorovych, Olha & Marra, Michele C., 2007. "Relative Importance of Environmental Attributes Using Logistic Regression," 2007 Annual Meeting, February 4-7, 2007, Mobile, Alabama 34846, Southern Agricultural Economics Association.
    20. Salois, Matthew J., 2013. "Regional changes in the distribution of foreign aid: An entropy approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(13), pages 2893-2902.
    21. Bera Anil K. & Galvao Antonio F. & Montes-Rojas Gabriel V. & Park Sung Y., 2016. "Asymmetric Laplace Regression: Maximum Likelihood, Maximum Entropy and Quantile Regression," Journal of Econometric Methods, De Gruyter, vol. 5(1), pages 79-101, January.

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