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Paulo M. M. Rodrigues
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Publisher: Journals Gateway
The Review of Economics and Statistics (2019) 101 (4): 667–680.
Published: 01 October 2019
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A new regression-based approach for the estimation of the tail index of heavy-tailed distributions with several important properties is introduced. First, it provides a bias reduction when compared to available regression-based methods; second, it is resilient to the choice of the tail length used for the estimation of the tail index; third, when the effect of the slowly varying function at infinity of the Pareto distribution vanishes slowly, it continues to perform satisfactorily; and fourth, it performs well under dependence of unknown form. An approach to compute the asymptotic variance under time dependence and conditional heteroskcedasticity is also provided.
Includes: Supplementary data