Skip to Main content Skip to Navigation
Preprints, Working Papers, ...

Generalized Pareto Curves : Theory and Applications

Abstract : We define generalized Pareto curves as the curve of inverted Pareto coefficients b(p), where b(p) is the ratio between average income or wealth above rank p and the p-th quantile Q(p) (i.e. b(p) = E[X|X > Q(p)]/Q(p)). We use them to characterize entire distributions, including places like the top where power laws are a good description, and places further down where they are not. We develop a method to nonparametrically recover the entire distribution based on tabulated income or wealth data as is generally available from tax authorities, which produces smooth and realistic shapes of generalized Pareto curves. Using detailed tabulations from quasi-exhaustive tax data, we demonstrate the precision of our method both empirically and analytically. It gives better results than the most commonly used interpolation techniques. Finally, we use Pareto curves to identify recurring distributional patterns, and connect those findings to the existing literature that explains observed distributions by random growth models.
Document type :
Preprints, Working Papers, ...
Complete list of metadata

Cited literature [64 references]  Display  Hide  Download

https://halshs.archives-ouvertes.fr/halshs-02658851
Contributor : Caroline Bauer <>
Submitted on : Saturday, May 30, 2020 - 12:59:06 PM
Last modification on : Tuesday, January 19, 2021 - 11:09:09 AM

File

2017-03_.pdf
Files produced by the author(s)

Identifiers

  • HAL Id : halshs-02658851, version 1

Collections

Citation

Thomas Blanchet, Juliette Fournier, Thomas Piketty. Generalized Pareto Curves : Theory and Applications. 2017. ⟨halshs-02658851⟩

Share

Metrics

Record views

50

Files downloads

324