Information-theoretic Estimation Of Preference Parameters: Macroeconomic Applications And Simulation Evidence

Allan Gregory, Jean-Francois Lamarche () and Gregor Smith

No 1249, Working Paper from Economics Department, Queen's University

Abstract: This paper investigates the behaviour of estimators based on the Kullback-Leibler information criterion (KLIC), as an alternative to the generalized method of moments (GMM). We first study the estimators in a Monte Carlo simulation model of consumption growth with power utility. Then we compare KLIC and GMM estimators in macroeconomic applications, in which preference parameters are estimated with aggregate data. KLIC probabilitymeasures serve as useful diagnostics. In dependent data, tests of overidentifying restrictions in the KLIC framework have size properties comparable to those of the J-test initerated GMM, but superior size-adjusted power.

Keywords: KLIC estimation; generalized method of moments; Monte Carlo (search for similar items in EconPapers)
JEL-codes: C13 C14 E21 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2001-03
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https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_1249.pdf First version 2001 (application/pdf)

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Journal Article: Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:1249

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