A Structural-Equation Gme Estimator
A generalized maximum entropy estimator is developed for the linear simultaneous equations systems model. We provide results on large and small sample properties of the estimator. Empirical results illustrate efficiency advantages of the generalized maximum entropy estimator proposed in this study over traditional estimators (e.g., 2SLS and 3SLS).
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- Miller, D. & Golan, Amos & Judge, G., 1998. "Information Recovery in Simultaneous Equation Statistical Models," Staff General Research Papers 1319, Iowa State University, Department of Economics.
- Golan, Amos & Judge, George G. & Miller, Douglas, 1996. "Maximum Entropy Econometrics," Staff General Research Papers 1488, Iowa State University, Department of Economics.
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