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http://dx.doi.org/10.5351/CKSS.2009.16.2.265

Generalized Maximum Entropy Estimator for the Linear Regression Model with a Spatial Autoregressive Disturbance  

Cheon, Soo-Young (KU Industry-Academy Cooperation Group Team of Economics and Statistics, Korea Univ.)
Lim, Seong-Seop (Personal Risk Management Team, Hana Bank)
Publication Information
Communications for Statistical Applications and Methods / v.16, no.2, 2009 , pp. 265-275 More about this Journal
Abstract
This paper considers a linear regression model with a spatial autoregressive disturbance with ill-posed data and proposes the generalized maximum entropy(GME) estimator of regression coefficients. The performance of this estimator is investigated via Monte Carlo experiments. The results show that the GME estimator provides efficient and robust estimate for the unknown parameter.
Keywords
Spatial linear regression model; information recovery; GME estimation;
Citations & Related Records
Times Cited By KSCI : 1  (Citation Analysis)
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