Information-Theoretic Distribution Test with Application to Normality

Thanasis Stengos and Ximing Wu ()

Econometric Reviews, 2010, vol. 29, issue 3, 307-329

Abstract: We derive general distribution tests based on the method of maximum entropy (ME) density. The proposed tests are derived from maximizing the differential entropy subject to given moment constraints. By exploiting the equivalence between the ME and maximum likelihood (ML) estimates for the general exponential family, we can use the conventional likelihood ratio (LR), Wald, and Lagrange multiplier (LM) testing principles in the maximum entropy framework. In particular, we use the LM approach to derive tests for normality. Monte Carlo evidence suggests that the proposed tests are compatible with and sometimes outperform some commonly used normality tests. We show that the proposed tests can be extended to tests based on regression residuals and non-i.i.d. data in a straightforward manner. An empirical example on production function estimation is presented.

Keywords: Distribution test; Maximum entropy; Normality (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Information-Theoretic Distribution Test with Application to Normality (2007)
Working Paper: Information-Theoretic Distribution Test with Application to Normality (2006)
Working Paper: Information-Theoretic Distribution Test with Application to Normality (2006)
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DOI: 10.1080/07474930903451565

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