We propose a partially adaptive estimator based on information theoretic maximum entropy estimates of the error distribution. The maximum entropy (maxent) densities have simple yet flexible functional forms to nest most of the mathematical distributions. Unlike the nonparametric fully adaptive...

We derive general distribution tests based on the method of Maximum Entropy density. The proposed tests are derived from maximizing the differential entropy subject to moment constraints. By exploiting the equivalence between the Maximum Entropy and Maximum Likelihood estimates of the general...