A robust generalised maximum entropy estimator for ill-posed estimation problems Online publication date: Mon, 09-Apr-2018
by Graeme J. Doole
International Journal of Computational Economics and Econometrics (IJCEE), Vol. 8, No. 2, 2018
Abstract: The generalised maximum entropy (GME) estimator provides a flexible means of information recovery from ill-posed estimation problems. However, coefficient estimates are sensitive to the exogenous support bounds defined for coefficient and error terms. This paper describes a new estimator that identifies informative support bounds, prior to the implementation of GME regression. These bounds are estimated using interval-valued mathematical programming in a way that is data-based, replicable, and robust. The superiority of the new estimator over various alternatives is demonstrated with a series of non-trivial Monte Carlo simulations involving different degrees of multicollinearity, sample sizes, and error structures.
Online publication date: Mon, 09-Apr-2018
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