Comparative statics of the generalized maximum entropy estimator of the general linear model

    Authors

    M. R. Caputo;Q. Paris

    Comments

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    Abbreviated Journal Title

    Eur. J. Oper. Res.

    Keywords

    comparative statics; sensitivity analysis; generalized maximum entropy; general linear model; regression; Management; Operations Research & Management Science

    Abstract

    The generalized maximum entropy method of information recovery requires that an analyst provides prior information in the form of finite bounds on the permissible values of the regression coefficients and error values for its implementation. Using a new development in the method of comparative statics, the sensitivity of the resulting coefficient and error estimates to the prior information is investigated. A negative semidefinite matrix reminiscent of the Slutsky-matrix of neoclassical microeconomic theory is shown to characterize the said sensitivity, and an upper bound for the rank of the matrix is derived. (c) 2007 Elsevier B.V. All rights reserved.

    Journal Title

    European Journal of Operational Research

    Volume

    185

    Issue/Number

    1

    Publication Date

    1-1-2008

    Document Type

    Article

    Language

    English

    First Page

    195

    Last Page

    203

    WOS Identifier

    WOS:000250258400012

    ISSN

    0377-2217

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