کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097377 | 1376585 | 2007 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
GMM estimation of a maximum entropy distribution with interval data
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: GMM estimation of a maximum entropy distribution with interval data GMM estimation of a maximum entropy distribution with interval data](/preview/png/5097377.png)
چکیده انگلیسی
We develop a generalized method of moments (GMM) estimator for the distribution of a variable where summary statistics are available only for intervals of the random variable. Without individual data, one cannot calculate the weighting matrix for the GMM estimator. Instead, we propose a simulated weighting matrix based on a first-step consistent estimate. When the functional form of the underlying distribution is unknown, we estimate it using a simple yet flexible maximum entropy density. Our Monte Carlo simulations show that the proposed maximum entropy density is able to approximate various distributions extremely well. The two-step GMM estimator with a simulated weighting matrix improves the efficiency of the one-step GMM considerably. We use this method to estimate the U.S. income distribution and compare these results with those based on the underlying raw income data.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 138, Issue 2, June 2007, Pages 532-546
Journal: Journal of Econometrics - Volume 138, Issue 2, June 2007, Pages 532-546
نویسندگان
Ximing Wu, Jeffrey M. Perloff,