References
references.Rmdbeyondpareto is compatible with Stata
version 11.2 or later.
beyondpareto
Syntax:
beyondpareto varname [if] [weight] , [options]
options
| options | Description |
|---|---|
| nrange(#,#) | Set minimum and maximum absolute sample size in the
tail of wealthiest units considered in the analysis,
e.g. nrange(20,400).The options nrange and
fracrange are mutually exclusive. |
| fracrange(#,#) | Similar to nrange but given as ratio of
the complete sample size, e.g. fracrange(0.05, 0.2). |
| rho(#) | Set second-order parameter of regular variation. Default is -0.5, possibe values are real negative numbers. |
| draw_plots | Displays a combined graph of three plots showing (from right to left), 1. Asymptotic Mean Squared Error (AMSE) plot. 2. gamma plot. 3. Pareto QQ plot with a line fitted to the estimated Pareto tail. |
| save(string) | Plots will be saved. |
pweights are allowed. The given weighting scheme is
interpreted as sampling weights and re-centerd to sum to the number of
observations.
stored results
beyondpareto stores the following scalars in
e():
| e(kbase) | base index, corresponding to the upper-order statistic k+1 through which the fitted line passes and that is associated with the minimum value of the AMSE. |
| e(Ybase) | value of the variable given as varname that is associated with the minimum value of the AMSE. |
| e(gamma_hat) | value of the estimated extreme value index. |
| e(gamma_SE) | value of the standard error of the estimated extreme value index. |
| e(gamma_lo) | lower value of the 95% confidence interval of the estimated extreme value index. |
| e(gamma_hi) | upper value of the 95% confidence interval of the estimated extreme value index. |
| e(AMSE) | value of the Asymptotic Mean Squared Error. |
| e(df_r) | todo |
pqqplot
Syntax:
pqqplot varname [if] [weight] , [options]
options
| options | Description |
|---|---|
| *gamma(#) | Set the extreme value index, coressponding to the slope of the fit line. |
| *base(#) | Set the base index, corresponding to the upper-order statistic through which the line will pass. |
| save(string) | Specify where the plot will be saved. |
pweights are allowed. The given weighting scheme is
interpreted as sampling weights and re-centerd to sum to the number of
observations.