jpedroan/GMEselection: Variable Selection with Generalized Maximum Entropy

A variable selection procedure for regression models based on Generalized Maximum Entropy estimation (A. Golan, J. Judge and D. Miller, Maximum Entropy Econometrics, Wiley, 1996; Chapter 10). The procedure is useful for well- and ill-posed regression models, namely in models exhibiting small sample sizes, collinearity and non-normal errors.

install.packages("remotes")
remotes::install_github("jpedroan/GMEselection")