Statistical inference in the presence of heavy tails

Davidson, Russell
February 2012
Econometrics Journal;Feb2012, Vol. 15 Issue 1, pC31
Academic Journal
Summary Income distributions are usually characterized by a heavy right-hand tail. Apart from any ethical considerations raised by the presence among us of the very rich, statistical inference is complicated by the need to consider distributions of which the moments may not exist. In extreme cases, no valid inference about expectations is possible until restrictions are imposed on the class of distributions admitted by econometric models. It is therefore important to determine the limits of conventional inference in the presence of heavy tails, and, in particular, of bootstrap inference. In this paper, recent progress in the field is reviewed, and examples given of how inference may fail, and of the sorts of conditions that can be imposed to ensure valid inference.


Related Articles

  • Ranking income distributions using the geometric mean and a related general measure. Moore, Robert E. // Southern Economic Journal;Jul96, Vol. 63 Issue 1, p69 

    Proposes a ranking index that provides a complete ordering of income distributions. Degree of equity preference relative to efficiency preference; Welfare rankings for 26 countries.

  • The immiseration of the landlords: rent in a Kaldorian theory of income distribution. Hill, Greg // Cambridge Journal of Economics;Jul2001, Vol. 25 Issue 4, p481 

    This paper incorporates rent within a Kaldorian model of distribution where income shares depend on aggregate investment and the propensities to save out of profits, rents and wages. The model is used to interpret the significance of the secular decline in rents as a share of national income and...

  • Distribution and growth with infrastructure constraint. Rao, J. Mohan // Cambridge Journal of Economics;Dec93, Vol. 17 Issue 4, p369 

    Proposes a two-sector model of growth which permits a role for both an agricultural supply constraint and an aggregate demand constraint. Formalization of the links between the two constraints; Hypotheses regarding state policy towards growth and structural change; Two-sector growth model;...

  • A diffusion model of long-run state economic development. Berry, Dan M.; Kaserman, David L. // Atlantic Economic Journal;Dec93, Vol. 21 Issue 4, p39 

    Studies a diffusion model of long-run state economic development. Examination of the causes of growth; Results confirming the general convergence of state per capita incomes over time; Variation in state economic growth; Low taxes and strong support for higher education.

  • Do country characteristics matter for economic growth among the developed countries? Landau, Daniel // Atlantic Economic Journal;Jun95, Vol. 23 Issue 2, p113 

    Examines the impact of country characteristics on economic growth among developed countries. Investigation of patterns for overall long-run growths that dominates the effects of country characteristics; Regression of the pooled samples' growth rates on dummy variables.

  • Upgrading labor quality, structural change, and economic development. Xu, Yingfeng // Atlantic Economic Journal;Jun95, Vol. 23 Issue 2, p122 

    Presents a model of economic development which is comparable to the neoclassical model of trade and growth. Incorporation of fundamental structural changes which move resources from agriculture to industry and from low value-added to high value-added activities; Advantages of free trade.

  • Openness, human development, and fiscal policies. Villanueva, Delano // IMF Staff Papers;Mar94, Vol. 41 Issue 1, p1 

    Reports that economic growth and speed of adjustment of an economy depends on its economic openness, its depth of human development, and the quality of its fiscal policies. Tables and graphs to show comparisons between the endogenous growth model and the Solow-Swan model; Effects of the growth...

  • RECOMBINANT GROWTH. Weitzman, Martin L. // Quarterly Journal of Economics;May98, Vol. 113 Issue 2, p331 

    This paper attempts to provide microfoundations for the knowledge production function in an idea-based growth model. Production of new ideas is made a function of newly reconfigured old ideas in the spirit of the way an agricultural research station develops improved plant varieties by...

  • SIMPLE LINEAR PLANNING MODELS: STRUCTURE AND IMPLICATIONS. Paelinck, J. // De Economist (0013-063X);Oct75, Vol. 123 Issue 3, p385 

    Develops a simple linear planning model for economic development programs. Importance of linear planning models in examining feasible medium-term program; Integration on the behavioral relations of economic agents; Implications for reaching economic targets.


Read the Article


Sorry, but this item is not currently available from your library.

Try another library?
Sign out of this library

Other Topics