GMM estimation of a maximum entropy distribution with interval data Academic Article uri icon


  • We develop a generalized method of moments (GMM) estimator for the distribution of a variable where summary statistics are available only for intervals of the random variable. Without individual data, one cannot calculate the weighting matrix for the GMM estimator. Instead, we propose a simulated weighting matrix based on a first-step consistent estimate. When the functional form of the underlying distribution is unknown, we estimate it using a simple yet flexible maximum entropy density. Our Monte Carlo simulations show that the proposed maximum entropy density is able to approximate various distributions extremely well. The two-step GMM estimator with a simulated weighting matrix improves the efficiency of the one-step GMM considerably. We use this method to estimate the U.S. income distribution and compare these results with those based on the underlying raw income data. 2006 Elsevier B.V. All rights reserved.

published proceedings


author list (cited authors)

  • Wu, X., & Perloff, J. M.

citation count

  • 39

complete list of authors

  • Wu, Ximing||Perloff, Jeffrey M

publication date

  • June 2007