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)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:127:y:2015:i:c:p:1-5

DOI: 10.1016/j.econlet.2014.12.014

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