Econometrics of Information and Efficiency

By: Jati Sengupta

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Hardcover | 31 July 1993

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Hardcover
272 Pages

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23.39 x 15.6 x 1.6

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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.

Industry Reviews

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

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You Can Find This Book In

Non-Fiction Economics Econometrics Business & Management Management & Management Techniques Industry & Industrial Studies Mathematics Applied Mathematics Economic Theory & Philosophy Optimisation Linear Programming Reference, Information & Interdisciplinary Subjects

Research & Information Information theory Cybernetics & Systems Theory Operational Research

Preface
Introduction to Information	p. 1
Information and Data Analysis	p. 2
Information and Estimation	p. 4
Information Theory and Choice of Models	p. 6
Economics of Information	p. 7
Information and Efficiency	p. 9
Outline of the Book	p. 11
Applied Information Theory	p. 13
Tools of Information Theory	p. 13
Maximum Entropy Principle	p. 21
Information Theory Approach to Estimation	p. 25
Mutual Information and Prediction	p. 31
Use of Entropy in Economic Models	p. 35
Applications to Stochastic Processes	p. 63
Information Theory in Econometrics	p. 71
Data and Information	p. 71
Nonparametric Estimation and Entropy Theory	p. 75
Entropy, Likelihood and Bayesian Estimation	p. 79
Information Gain and Divergence	p. 82
Applications in Production Frontier Estimation	p. 94
Entropy-based Measure of Economic Inequality	p. 102
Applications in Control Theory and Operations Research	p. 106
Dynamic Models and Information Theory	p. 106
Entropy Minimizing Control	p. 116
Entropy and Game Theory	p. 130
Information Theory and Risk Analysis	p. 135
Entropy in Models of Queueing and Transportation	p. 146
Efficiency Measurement Under Inexact Information	p. 150
Economic Theories of Information	p. 160
Information in Selection Models	p. 160
Informational Basis of Rational Expectations	p. 171
Information and Game Theory	p. 188
Semiparametric Estimation of Efficiency	p. 195
Market Models of Search	p. 218
Decisions Under Incomplete Information	p. 222
Econometrics and Entropy Theory	p. 230
Problems in Econometric Modelling	p. 232
Trends in Entropy Theory	p. 237
References	p. 246
Index	p. 254
Table of Contents provided by Blackwell. All Rights Reserved.

Econometrics of Information and Efficiency

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