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An Information Theoretic Approach to Econometrics

机译：计量经济学的信息理论方法

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摘要

Information theory is a branch of applied mathematics that is concerned with data compression and communication. Information theory provides an alternative basis for statistical estimation and inference. The goal of this book, as stated in the preface, is "to provide the reader with a firm conceptual and empirical understanding of basic information theoretic econometric models and methods." The goal is successfully achieved. This book is particularly successful in presentation of the concepts of information theoretic methods by illustrating how the existing methods and results can be generalized or viewed differently from the information theoretic perspective. Many information theoretic econometric methods are introduced in this book. When introducing a new method, the authors first elaborate on the conceptual relationship between the previously discussed methods and the new method. Construction of estimators and test statistics follows. Then numerous Monte Carlo simulation results are provided to compare the traditional econometric methods and the information theoretic methods.
机译：信息论是应用数学的一个分支，它涉及数据压缩和通信。信息论为统计估计和推论提供了另一种基础。如前言所述，本书的目标是“为读者提供对基本信息理论计量经济模型和方法的牢固的概念和经验理解”。该目标已成功实现。本书通过说明如何概括或从信息理论的角度看待现有的方法和结果，在介绍信息理论方法的概念方面特别成功。本书介绍了许多信息理论计量经济学方法。在介绍一种新方法时，作者首先详细说明了先前讨论的方法与新方法之间的概念关系。估计器和检验统计的构造如下。然后提供了大量的蒙特卡洛模拟结果，以比较传统的计量经济学方法和信息理论方法。

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