Author(s)
Amos Golan
Jeffrey Perloff

An information-theoretic maximum entropy (ME) model provides an alternative approach to finding solutions to partially identified models. In these models, we can identify only a solution set rather than point-identifying the parameters of interest, given our limited information. Manski (2021) proposed using statistical decision functions in general, and the minimax-regret (MMR) criterion in particular, to choose a unique solution. Using Manski's simulations for a missing data and a treatment problem, including an empirical example, we show that ME performs the same or better than MMR. In additional simulations, ME dominates various other statistical decision functions. ME has an axiomatic underpinning and is computationally efficient.

Publication Type
Working Paper
File Description
First version, September 2025
JEL Codes
D81: Criteria for Decision-Making under Risk and Uncertainty
C15 Statistical Simulation Methods: General
C44 Operations Research • Statistical Decision Theory
Keywords
information theory
maximum entropy
minimax regret
statistical decision function