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Inequality restricted maximum entropy estimation using Stata

Randall Campbell () and Carter Hill
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Randall Campbell: Mississippi State University

2013 Stata Conference from Stata Users Group

Abstract: We use Stata to obtain the linear maximum entropy estimator developed by Golan, Judge and Miller (1996). We use the STATA optimize function to illustrate maximum entropy estimation in an unrestricted linear regression model. Next, we estimate the model with parameter inequality restrictions to replicate the Monte Carlo experiments in Campbell and Hill (2006). We generate data under varying design characteristics, and estimate the parameters using maximum entropy and least squares estimation, both with and without parameter inequality restrictions.

Date: 2013-08-01
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