Maximum entropy estimation in economic models with linear inequality restrictions
نویسندگان
چکیده
In this paper, we use maximum entropy to estimate the parameters in an economic model. We demonstrate the use of the generalized maximum entropy (GME) estimator, describe how to specify the GME parameter support matrix, and examine the sensitivity of GME estimates to the parameter and error bounds. We impose binding inequality restrictions through the GME parameter support matrix and develop a more general parameter support matrix that allows us to impose a broader set of restrictions than is possible under the traditional formulation. Bootstrapping is used to obtain confidence intervals and examine the precision of the GME estimator. JEL Classification: C13; C14; C20; C49; C51
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