Estimation of Zenga's new index of economic inequality in heavy tailed populations
AbstractIn this work we propose a new estimator for Zenga's inequality measure in heavy tailed populations. The new estimator is based on the Weissman estimator for high quantiles. We will show that, under fairly general conditions, it has asymptotic normal distribution. Further we present the results of a simulation study where we compare confidence intervals based on the new estimator with those based on the plug-in estimator.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 31230.
Date of creation: 02 Jun 2011
Date of revision:
Heavy-tailed distributions; inequality measures; conditional tail expectation; Hill estimator; Weissman estimator; extreme value theory;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- D63 - Microeconomics - - Welfare Economics - - - Equity, Justice, Inequality, and Other Normative Criteria and Measurement
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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