Top Incomes, Heavy Tails, and Rank-Size Regressions

Top Incomes, Heavy Tails, and Rank-Size Regressions

In economics, rank-size regressions provide popular estimators of tail exponents of heavy-tailed distributions. We discuss the properties of this approach when the tail of the distribution is regularly varying rather than strictly Pareto. The estimator then over-estimates the true value in the leadi...

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Bibliographic Details
Main Author: Christian Schluter
Format: Article
Language:English
Published: MDPI AG 2018-03-01
Series:Econometrics
Subjects:
top incomes
heavy tails
rank size regression
extreme value index
regular variation
Online Access:http://www.mdpi.com/2225-1146/6/1/10

Internet

http://www.mdpi.com/2225-1146/6/1/10

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