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

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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:  08. Mar 2015 05:30 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/15100 