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

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.

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Year of publication:	2015
Authors:	Henderson, Heath ; Golan, Amos ; Seabold, Skipper
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 127.2015, C, p. 1-5
Publisher:	Elsevier
Subject:	Generalized Cross Entropy \| Generalized Maximum Entropy \| Information \| Maximum Entropy \| Priors

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Type of publication:	Article
Classification:	C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011189554