Incorporating prior information when true priors are unknown: An Information-Theoretic approach for increasing efficiency in estimation
Amos Golan () and
Economics Letters, 2015, vol. 127, issue C, 1-5
We develop a new way to incorporate prior information within an Information-Theoretic (IT) estimation framework. The estimator considers many potential priors and uses a simple statistic to choose the optimal solution. Our method outperforms its competitors for all finite data.
Keywords: Generalized Cross Entropy; Generalized Maximum Entropy; Information; Maximum Entropy; Priors (search for similar items in EconPapers)
JEL-codes: C13 C14 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:127:y:2015:i:c:p:1-5
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