An application of General Maximum Entropy to Utility

Andreia Teixeira Marques Dionísio (andreia@uevora.pt) and Paulo Ferreira
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Andreia Teixeira Marques Dionísio: University of Évora, Department of Management, CEFAGE-UÉ
Authors registered in the RePEc Author Service: Andreia Dionisio

CEFAGE-UE Working Papers from University of Evora, CEFAGE-UE (Portugal)

Abstract: Methodologies related with information theory have been increasingly used in studies in economics and management. In this paper we use Generalized Maximum Entropy as an alternative to the Ordinary Least Squares in the estimation of utility functions. We estimated linear, logarithmic and power utility functions as well as confidence intervals and in order to compare both methodologies. Results point to the greater accuracy of Generalized Maximum Entropy. Linear function seems to be the one with best goodness of fit.

JEL-codes: C10 D80 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2012
New Economics Papers: this item is included in nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:cfe:wpcefa:2012_18

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