An Information Theoretic Approach to Econometrics

'Taking us beyond traditional econometric estimation and inference, this landmark text leads us carefully through the modern literature on empirical likelihood methods to an extremely compelling new methodology. The authors present a clear and compelling case for recognizing econometric problems for what they really are - namely, ill-posed noisy inverse problems. By showing how very general information-theoretic methods can be used in a natural way to solve such problems, Judge and Mittelhammer break new ground and set a new standard for the econometric community.' David Giles, University of Victoria, Canada