A Comparison of the Accuracy of Asymptotic Approximations in the Dynamic Regression Model Using Kullback-Leibler Information

R. Atukorala and Maxwell King

No 8/96, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: This paper illustrates the use of Kullback-Leibler Information (KLI) measure for assessing the relative quality of two approximations to an unknown distribution from which we ca obtain simple random drawings.

Keywords: REGRESSION ANALYSIS; ECONOMIC MODELS; INFORMATION (search for similar items in EconPapers)
JEL-codes: C13 C14 (search for similar items in EconPapers)
Pages: 16 pages
Date: 1996
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