Bera, Anil K.; Galvao, Antonio F.; Montes-Rojas, Gabriel V. - In: Journal of Econometric Methods 5 (2016) 1, pp. 79-101
Abstract This paper studies the connections among the asymmetric Laplace probability density (ALPD), maximum likelihood, maximum entropy and quantile regression. We show that the maximum likelihood problem is equivalent to the solution of a maximum entropy problem where we impose moment...