The Power-law Tail Exponent of Income Distributions
Physics and Society
2009-01-31 v1 Statistical Finance
Abstract
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.
Keywords
Cite
@article{arxiv.physics/0603061,
title = {The Power-law Tail Exponent of Income Distributions},
author = {F. Clementi and T. Di Matteo and M. Gallegati},
journal= {arXiv preprint arXiv:physics/0603061},
year = {2009}
}
Comments
Latex2e v1.6; 8 pages with 3 figures; in press (Physica A)