Economics at your fingertips  

Incorporating prior information when true priors are unknown: An Information-Theoretic approach for increasing efficiency in estimation

Heath Henderson, Amos Golan () and Skipper Seabold

Economics Letters, 2015, vol. 127, issue C, 1-5

Abstract: 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)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

Page updated 2019-04-29
Handle: RePEc:eee:ecolet:v:127:y:2015:i:c:p:1-5