Generalized maximum entropy estimation of linear models
Paul Corral
The World Bank
Washington, DC
pcorralrodas@worldbank.org
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Daniel Kuehn
Urban Institute
Washington, DC
dkuehn@urban.org
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Ermengarde Jabir
American University
Washington, DC
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Abstract. In this article, we describe the user-written gmentropylinear command,
which implements the generalized maximum entropy estimation method for linear
models. This is an information-theoretic procedure preferable to its maximum
likelihood counterparts in many applications; it avoids making distributional
assumptions, works well when the sample is small or covariates are highly
correlated, and is more efficient than its maximum likelihood equivalent. We
give a brief introduction to the generalized maximum entropy procedure, present
the gmentropylinear command, and give an example using the command.
View all articles by these authors:
Paul Corral, Daniel Kuehn, Ermengarde Jabir
View all articles with these keywords:
gmentropylinear, generalized maximum entropy, maximum entropy, linear
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