Title

Comparative Statics Of The Generalized Maximum Entropy Estimator Of The General Linear Model

Keywords

Comparative statics; General linear model; Generalized maximum entropy; Regression; Sensitivity analysis

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. © 2007 Elsevier B.V. All rights reserved.

Publication Date

2-16-2008

Publication Title

European Journal of Operational Research

Volume

185

Issue

1

Number of Pages

195-203

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1016/j.ejor.2006.12.031

Socpus ID

34548688898 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/34548688898

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