Income distribution and inequality measurement: The problem of extreme values
AbstractWe examine the statistical performance of inequality indices in the presence of extreme values in the data and show that these indices are very sensitive to the properties of the income distribution. Estimation and inference can be dramatically affected, especially when the tail of the income distribution is heavy, even when standard bootstrap methods are employed. However, use of appropriate semiparametric methods for modelling the upper tail can greatly improve the performance of even those inequality indices that are normally considered particularly sensitive to extreme values.
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Bibliographic InfoPaper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00176029.
Date of creation: 2007
Date of revision:
Publication status: Published, Journal of Econometrics, 2007, 141, 2, 1044-1072
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inequality measures ; statistical performance ; robustness;
Other versions of this item:
- Cowell, Frank A. & Flachaire, Emmanuel, 2007. "Income distribution and inequality measurement: The problem of extreme values," Journal of Econometrics, Elsevier, vol. 141(2), pages 1044-1072, December.
- Frank A. Cowell & Emmanuel Flachaire, 2004. "Income distribution and inequality measurement : the problem of extreme values," Cahiers de la Maison des Sciences Economiques v04101, Université Panthéon-Sorbonne (Paris 1).
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- D63 - Microeconomics - - Welfare Economics - - - Equity, Justice, Inequality, and Other Normative Criteria and Measurement
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