18 Pages Posted: 4 Aug 2012
Date Written: August 2, 2012
The focus of this paper is on starting a critical discussion on the state of econometrics. The problem of information recovery in economics is discussed, and information theoretic methods are suggested as an estimation and inference framework for analyzing questions of a causal nature and learning about hidden dynamic micro and macro processes and systems, that may not be in equilibrium.
Keywords: Information theoretic methods, State space models, First order Markov processes, Inverse problems, Dynamic economic systems
JEL Classification: C40, C51
Suggested Citation: Suggested Citation
Judge, George, A Comment on Econometric Information Recovery and Inference from Indirect Noisy Economic Data (August 2, 2012). Available at SSRN: https://ssrn.com/abstract=2122592 or http://dx.doi.org/10.2139/ssrn.2122592