Edgeworth Expansions and Normalizing Transforms for Inequality Measures • ChristianSchluter

C. Schluter and K.J. van Garderen (2009). “Edgeworth Expansions and Normalizing Transforms for Inequality Measures.” Journal of Econometrics, 150, 1, 16-29.

Abstract: “Finite sample distributions of studentized inequality measures differ substantially from their asymptotic normal distribution in terms of location and skewness. We study these aspects formally by deriving the second-order expansion of the first and third cumulant of the studentized inequality measure. We state distribution-free expressions for the bias and skewness coefficients. In the second part we improve over first-order theory by deriving Edgeworth expansions and normalizing transforms. These normalizing transforms are designed to eliminate the second-order term in the distributional expansion of the studentized transform and converge to the Gaussian limit at rate O(n−1). This leads to improved confidence intervals and applying a subsequent bootstrap leads to a further improvement to order O(n−3/2). We illustrate our procedure with an application to regional inequality measurement in Côte d’Ivoire.”

Cite (toggle to un/fold)

@article{SchluterJOE09,
  title = {Edgeworth Expansions and Normalizing Transforms for Inequality Measures},
  author={van Garderen, K.J. and Schluter, Christian},
  journal = {Journal of Econometrics},
  year    = 2009,
  volume  = 150,
  number  = 1
}