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Econometrics of Information and Efficiency : NATO Asi Series. Series C, Mathematical and Physical Science - Jati K. Sengupta

Econometrics of Information and Efficiency

NATO Asi Series. Series C, Mathematical and Physical Science

Hardcover

Published: 31st July 1993
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Econometrics as an applied discipline attempts to use information in a most efficient manner, yet the information theory and entropy approach developed by Shannon and others has not played much of a role in applied econometrics. Econometrics of Information and Efficiency bridges the gap.
Broadly viewed, information theory analyzes the uncertainty of a given set of data and its probabilistic characteristics. Whereas the economic theory of information emphasizes the value of information to agents in a market, the entropy theory stresses the various aspects of imprecision of data and their interactions with the subjective decision processes. The tools of information theory, such as the maximum entropy principle, mutual information and the minimum discrepancy are useful in several areas of statistical inference, e.g., Bayesian estimation, expected maximum likelihood principle, the fuzzy statistical regression. This volume analyzes the applications of these tools of information theory to the most commonly used models in econometrics.
The outstanding features of Econometrics of Information and Efficiency are:

  • A critical survey of the uses of information theory in economics and econometrics;
  • An integration of applied information theory and economic efficiency analysis;
  • The development of a new economic hypothesis relating information theory to economic growth models;
  • New lines of research are emphasized.

`I would recommend it highly to graduate students and researchers who are engaged in information-based economics.' The Statistician, 44:2, 1995

Preface
Introduction to Informationp. 1
Information and Data Analysisp. 2
Information and Estimationp. 4
Information Theory and Choice of Modelsp. 6
Economics of Informationp. 7
Information and Efficiencyp. 9
Outline of the Bookp. 11
Applied Information Theoryp. 13
Tools of Information Theoryp. 13
Maximum Entropy Principlep. 21
Information Theory Approach to Estimationp. 25
Mutual Information and Predictionp. 31
Use of Entropy in Economic Modelsp. 35
Applications to Stochastic Processesp. 63
Information Theory in Econometricsp. 71
Data and Informationp. 71
Nonparametric Estimation and Entropy Theoryp. 75
Entropy, Likelihood and Bayesian Estimationp. 79
Information Gain and Divergencep. 82
Applications in Production Frontier Estimationp. 94
Entropy-based Measure of Economic Inequalityp. 102
Applications in Control Theory and Operations Researchp. 106
Dynamic Models and Information Theoryp. 106
Entropy Minimizing Controlp. 116
Entropy and Game Theoryp. 130
Information Theory and Risk Analysisp. 135
Entropy in Models of Queueing and Transportationp. 146
Efficiency Measurement Under Inexact Informationp. 150
Economic Theories of Informationp. 160
Information in Selection Modelsp. 160
Informational Basis of Rational Expectationsp. 171
Information and Game Theoryp. 188
Semiparametric Estimation of Efficiencyp. 195
Market Models of Searchp. 218
Decisions Under Incomplete Informationp. 222
Econometrics and Entropy Theoryp. 230
Problems in Econometric Modellingp. 232
Trends in Entropy Theoryp. 237
Referencesp. 246
Indexp. 254
Table of Contents provided by Blackwell. All Rights Reserved.

ISBN: 9780792323532
ISBN-10: 079232353X
Series: NATO Asi Series. Series C, Mathematical and Physical Science
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 258
Published: 31st July 1993
Publisher: SPRINGER VERLAG GMBH
Country of Publication: NL
Dimensions (cm): 23.39 x 15.6  x 1.6
Weight (kg): 0.56