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.

Getting started

Package details

Maintainer
LicenseMIT + file LICENSE
Version0.1.0
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("devtools")
library(devtools)
install_github("jpedroan/GMEselection")
jpedroan/GMEselection documentation built on May 18, 2017, 8:15 a.m.