Balcombe, Kelvin (2006): CrossEntropy Estimation of Linear Cointegrated Equations.

PDF
MPRA_paper_15100.pdf Download (196Kb)  Preview 
Abstract
The crossentropy 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.
Item Type:  MPRA Paper 

Original Title:  CrossEntropy Estimation of Linear Cointegrated Equations 
English Title:  CrossEntropy Estimation of Linear Cointegrated Equations 
Language:  English 
Keywords:  Entropy; Fully Modified; Cointegration 
Subjects:  C  Mathematical and Quantitative Methods > C0  General > C01  Econometrics 
Item ID:  15100 
Depositing User:  Kelvin Balcombe 
Date Deposited:  09. May 2009 11:46 
Last Modified:  19. Feb 2013 13:36 
References:  Andrews D.W.K. (1991). Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation, Econometrica, 59, 817858. Apostol, T.M. (1974) Mathematical Analysis, Addison Wesley Publishing. Balcombe .G. and Ti¢ n R.(2002). Fully Modi�ed Estimation with Cross Equation Restrictions, Economics Letters, 74, 257263 Berck P. and Sydsater K. (1993) Economists Mathematical Manual, Second Edition, SpringerVerlag. Davidson, J. (1994) Stochastic Limit Theory, Advanced Texts in Econometrics, Oxford University Press. Golan, A., Judge, G. and Miller, D. (1996). Maximum Entropy Econometrics, Robust Estimation with Limited Data. Series in Financial Economics and Quantitative Analysis. Wiley. Golan, A. Judge, G. and Perlo¤, J. (1997). Estimation and inference with censored and ordered multinomial response data. Journal of Econometrics 79, 2351. Golan Amos, and Perlo¤ J. (2002). Comparison of maximum entropy and higherorder entropy estimators, Journal Of Econometrics (107)12 195211. Golan, A. Moretti E. and Perlo¤ J.M. (1999). An Information Based Sample Selection Estimation of Agricultural Worker�s Choice between Piece Rate and Hourly Work. American Journal of Agricultural Economics, Vol 81, 3, 735741. Golan, A. (2002). Information and Entropy Econometrics, Editors View. Journal of Econometrics, 107 115. Golan A. and Gzyl H. (1999). A Generalized Maxentropic Inversion Procedure for Noisy Data. Applied Mathematics and Computation. Hamilton J.D. (1994), Time Series Analysis, Princeton University Press, New Jersey. Harmon, A. Preckel, P.V. and Eales J., (1998). Entropy Based Seemingly Unrelated Regression, Sta¤ Paper #988, Dept of Agricultural Economics. Purdue University. Haug A. (1999). Testing linear restrictions on cointegrating vectors: sizes and powers of Wald and Likelihood ratio tests in �nite samples. Working Paper: University of Canterbury. 29 Kullback J. (1959). Information Theory and Statistics. John Wiley, New York. Magnus J.R, and Neudecker H. (1994) Matrix Di¤erential Calculus with Applications in Statistics and Econometrics, Wiley Series in Probability and Mathematical Statistics, Wiley and Sons. Marsh L., R.C. Mittlehammer, and Cardell S. (1998). A StructuralEquation GME Estimator. A Selected Paper 1998 AAEA Annual Meeting, Salt Lake. Moon H.R. (1999). A note on fullymodi�ed estimation of seemingly unrelated regressions models with integrated regressors. Economics Letters 65, 2531. Paris Q. (2001). MELE, Maximum Entropy Leuven Estimators, 2001, Working Paper, 01003, California Agricultural Experiment Station, Gianinni Foundation for Agricultural Economics. Prekel P.V. (2001). �Least Squares and Entropy A Penalty Function Perspective�, American Journal of Agricultural Economics, 83 (2) 366377. Phillips P.C.B. and Hansen B. 1990). Statistical inference in instrumental variable regressions with I(1) processes. Review of Economics Studies 57, 99125. Shannon C.E. (1948). A Mathematical Theory of Communication. Bell System Technical Journal, 27, 379423. Thirtle, C., Sartorious von Bach, H. and van Zyl, J. (1993) Total Factor Productivity in South African Agriculture, 19471992. Development South Africa, 10, 301318. Xaio, Z and Phillips P.C.B. (2002) Higher order approximations for Wald Statistics in Time Series Regression with Integrated Processes. Journal of Econometrics, 108,157198. Zellner, A. (1996) Models, prior information, and Bayesian Analysis. Journal of Econometrics, 75, 5168. Zellner A. (1997). A Bayesian Method of Moments (BMOM): Theory and Applications. Advances in Econometrics, vol 12. Applying Maximum Entropy to Econometric Problems: Eds T.B. Formby and R.C. Hill, pp. 85105. Grenwich JAI Press, 1997. Zellner, A. (1999) New Information Based Econometric Methods in Agricultural Economics: Discussion, American Journal of Agricultural Economics, Vol 81, 3, 74246 
URI:  http://mpra.ub.unimuenchen.de/id/eprint/15100 