This book covers the basics of information theoretic methods in econometrics and the connecting theme among these methods. Generalized Maximum Entropy, the sub-class of methods that treat observed sample moments as stochastic, is covered in greater detail.
This books present a new set of generalized entropy techniques designed to recover information about economic systems. Maximum Entropy Econometrics provides a new basis for learning from ill-posed or underdetermined models and problems in which the data are partial or incomplete.