George Judge & Ron Mittelhammer have a new book, hot off the press: An Information Theoretic Approach to Econometrics (CUP, 2012).
I received a copy yesterday as I was lucky enough to get to read the page-proof version and provide some comments for the back cover.
This is what I had to say:
Here's the Amazon.com link for their book. Enjoy!"Taking us beyond traditional econometric estimation and inference, this landmark text leads us carefully through the modern literature on empirical likelihood methods to an extremely compelling new methodology. The authors present a clear and compelling case for recognizing econometric problems for what they really are - namely, ill-posed noisy inverse problems. By showing how very general information theoretic methods can be used in a natural way to solve such problems, Judge and Mittelhammer break new ground and set a new standard for the econometric community."
© 2011, David E. Giles