A Monte Carlo study of the effect of design characteristics on the inequality restricted maximum entropy estimator

In this paper, we conduct a set of Monte Carlo sampling experiments to examine the effect of design characteristics on the inequality restricted maximum entropy (RME) estimator. We generate data under varying design characteristics, and estimate the parameters using maximum entropy and least squares estimation, both with and without parameter inequality restrictions. As part of the experimental design we vary the sample size, the distribution of the regressors, the distribution of the errors, the degree of collinearity, the signal-to-noise ratio, and the specification error. We compare the alternative estimators on the basis of mean square error.


Issue Date:
2005-06
Publication Type:
Journal Article
PURL Identifier:
http://purl.umn.edu/143485
Published in:
Review of Applied Economics, Volume 01, Number 1
Page range:
63-92
Total Pages:
30
JEL Codes:
C13; C14; C49
Series Statement:
Vol.1
No.1




 Record created 2017-04-01, last modified 2017-08-26

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