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Cross-Entropy Estimation of Linear Cointegrated Equations

Balcombe, Kelvin (2006): Cross-Entropy Estimation of Linear Cointegrated Equations.

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Abstract

The cross-entropy approach is extended to the estimation of cointegrated equations. The entropy estimators for an appropriately constructed moment form, are asymptotically equivalent to Fully Modi�ed estimators since they converge to these estimates su¢ ciently quickly. The performance of the entropy estimators are examined by using some Monte Carlo trials, and in an applied example for the estimation of a production function for South African agriculture.

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