The ENTROPY Procedure (Experimental)
- Overview
-
Getting Started
-
Syntax
-
DetailsGeneralized Maximum EntropyGeneralized Cross EntropyMoment Generalized Maximum EntropyMaximum Entropy-Based Seemingly Unrelated RegressionGeneralized Maximum Entropy for Multinomial Discrete Choice ModelsCensored or Truncated Dependent VariablesInformation MeasuresParameter Covariance For GCEParameter Covariance For GCE-MStatistical TestsMissing ValuesInput Data SetsOutput Data SetsODS Table NamesODS Graphics
-
Examples
- References
The OUT= data set specified in the PROC ENTROPY statement contains residuals of the dependent variables computed from the parameter estimates. The ID and BY variables are also added to this data set.
The OUTEST= data set contains parameter estimates and, if requested via the COVOUT option, estimates of the covariance of the parameter estimates.
The variables in the data set are as follows:
-
BY variables
-
_NAME_, a character variable of length 32, blank for observations that contain parameter estimates or a parameter name for observations that contain covariances
-
_TYPE_, a character variable of length 8 that identifies the estimation method: GME or GMEM
-
the parameters estimated
If the COVOUT option is specified, an additional observation is written for each row of the estimate of the covariance matrix of parameter estimates, with the _NAME_ values containing the parameter names for the rows.
The OUTP= data set specified in the PROC ENTROPY statement contains the probabilities estimated for each support point, as well as the support points and prior probabilities used in the estimation.
The variables in the data set are as follows:
-
BY variables (if any)
-
_TYPE_, a character variable of length 8 that identifies the estimation method: GME or GMEM.
-
variable, a character variable of length 32 that indicates the name of the regressor. The regressor name and the equation name identify a unique coefficient.
-
_OBS_, a numeric variable that is either missing when the probabilities are for coefficients or the observation number when the probabilities are for the residual terms. The _OBS_ and the equation name identify which residual the probability is associated with.
-
equation, a character variable of length 32 that indicates the name of the dependent variable
-
NSupport, a numeric variable that indicates the number of support points for each basis
-
support, a numeric variable that is the support value the probability is associated with
-
prior, a numeric variable that is the prior probability associated with the probability
-
Prb, a numeric variable that is the estimated probability
The OUTL= data set specified in the PROC ENTROPY statement contains the Lagrange multiplier values for the underlying maximum entropy problem.
The variables in the data set are as follows:
-
BY variables
-
equation, a character variable of length 32 that indicates the name of the dependent variable
-
variable, a character variable of length 32 that indicates the name of the regressor. The regressor name and the equation name identify a unique coefficient.
-
_OBS_, a numeric variable that is either missing when the probabilities are for coefficients or the observation number when the probabilities are for the residual terms. The _OBS_ and the equation name identify which residual the Lagrange multiplier is associated with
-
LagrangeMult, a numeric variable that contains the Lagrange multipliers