Estimation of Zenga's new index of economic inequality in heavy tailed populations

In 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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Year of publication:	2011-06-02
Authors:	Greselin, Francesca ; Pasquazzi, Leo
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Heavy-tailed distributions \| inequality measures \| conditional tail expectation \| Hill estimator \| Weissman estimator \| extreme value theory

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C13 - Estimation ; D63 - Equity, Justice, Inequality, and Other Normative Criteria and Measurement ; C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009644149