The Power-law Tail Exponent of Income Distributions
In this paper we tackle the problem of estimating the power-law tail exponent of income distributions by using the Hill's estimator. A subsample semi-parametric bootstrap procedure minimising the mean squared error is used to choose the power-law cutoff value optimally. This technique is applied to personal income data for Australia and Italy.
|Date of creation:||Mar 2006|
|Date of revision:|
|Publication status:||Published in Physica A: Statistical and Theoretical Physics, Vol: 370, Issue 1, October 1, 2006, pp. 49-53|
|Contact details of provider:|| Web page: http://arxiv.org/|
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- Olivier V. Pictet & Michel M. Dacorogna & Ulrich A. Muller, 1996. "Hill, Bootstrap and Jackknife Estimators for Heavy Tails," Working Papers 1996-12-10, Olsen and Associates.
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