Uses of entropy and divergence measures for evaluating econometric approximations and infer\-ence.

DOI10.1016/S0304-4076(01)00126-9zbMath1040.62008MaRDI QIDQ1858947

Aman Ullah

Publication date: 17 February 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

entropydivergence

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Asymptotic distribution theory in statistics (62E20) Statistical aspects of information-theoretic topics (62B10)

Related Items (7)

Non-linearity tests based on order statistics and quantile regressions ⋮ Right mean for the \(\alpha - z\) Bures-Wasserstein quantum divergence ⋮ A robust test of specification based on order statistics ⋮ Unnamed Item ⋮ Faster ARMA maximum likelihood estimation ⋮ Accelerating score-driven time series models ⋮ Nonlinear autoregressive models with optimality properties

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A Mathematical Theory of Communication
• A simple consistent bootstrap test for a parametric regression function
• Moments of the ratio of quadratic forms in non-normal variables with econometric examples
• Entropy, divergence and distance measures with econometric applications
• Information Theory and Statistical Mechanics
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• On the estimation of residual variance in nonparametric regression
• The Student's t Approximation in a Stationary First Order Autoregressive Model
• A Numerical Comparison of Exact, Large-Sample and Small-Disturbance Appoximations of Properties of k-Class Estimators
• Functional-Coefficient Autoregressive Models
• A compendium to information theory in economics and econometrics
• Moments of the function of non-normal random vector with applications to econometric estimators and test statistics¹
• Comparison of k-Class Estimators When the Disturbances Are Small
• On Information and Sufficiency

This page was built for publication: Uses of entropy and divergence measures for evaluating econometric approximations and infer\-ence.