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Maximum Likelihood Estimation of Asymmetric Double Type II Pareto Distributions

PublikationArtikel (med peer review)
Daniel Halvarsson, Distribution Theory, Double Pareto Distribution, Firm growth, Maximum Likelihood

Sammanfattning

This paper considers a flexible class of asymmetric double Pareto distributions (ADP) that allows for skewness and asymmetric heavy tails. The inference problem is examined for maximum likelihood. Consistency is proven for the general case when all parameters are unknown. After deriving the Fisher information matrix, asymptotic normality and efficiency are established for a restricted model with the location parameter known. The asymptotic properties of the estimators are then examined using Monte Carlo simulations. To assess its goodness of fit, the ADP is applied to companies’ growth rates, for which it is favored over competing models.

Halvarsson, D. (2020). Maximum Likelihood Estimation of Asymmetric Double Type II Pareto Distributions. Journal of Statistical Theory and Practice, 14(22).

Baserat på innehåll

Ratio Working Paper No. 327: Asymmetric Double Pareto Distributions: Maximum Likelihood Estimation with Application to the Growth Rate Distribution of Firms
Working paperPublikation
Halvarsson, D.
Publiceringsår

2019

Publicerat i

Ratio Working Paper

Sammanfattning

This paper considers a flexible class of asymmetric double Pareto distributions (ADP) that allows for skewness and asymmetric heavy tails. The inference problem is examined for maximum likelihood. Consistency is proven for the general case when all parameters are unknown. After deriving the Fisher information matrix, asymptotic normality and efficiency are established for a restricted model with the location parameter known. The asymptotic properties of the estimators are then examined using Monte Carlo simulations. To assess its goodness of fit, the ADP is applied to companies’ growth rates, for which it is unequivocally favored over competing models.

Ratio Working Paper No. 327: Asymmetric Double Pareto Distributions: Maximum Likelihood Estimation with Application to the Growth Rate Distribution of Firms
Working paperPublikation
Halvarsson, D.
Publiceringsår

2019

Publicerat i

Ratio Working Paper

Sammanfattning

This paper considers a flexible class of asymmetric double Pareto distributions (ADP) that allows for skewness and asymmetric heavy tails. The inference problem is examined for maximum likelihood. Consistency is proven for the general case when all parameters are unknown. After deriving the Fisher information matrix, asymptotic normality and efficiency are established for a restricted model with the location parameter known. The asymptotic properties of the estimators are then examined using Monte Carlo simulations. To assess its goodness of fit, the ADP is applied to companies’ growth rates, for which it is unequivocally favored over competing models.

Firm Dynamics: The Size and Growth Distribution of Firms
BookPublikation
Halvarsson, D.
Publiceringsår

2013

Sammanfattning

This thesis is about firm dynamics, and relates to the size and growth-rate distribution of firms. As such, it consists of an introductory and four separate chapters. The first chapter concerns the size distribution of firms, the two subsequent chapters deal more specifically with high-growth firms (HGFs), and the last chapter covers a related topic in distributional estimation theory. The first three chapters are empirically oriented, whereas the fourth chapter develops a statistical concept.
Data in the empirical section of the thesis come from two sources. First, PAR, a Swedish consulting firm that gathers information from the Swedish Patent and registration office on all Swedish limited liability firms. Second, the IFDB-database, which comes from the Swedish Agency for Growth Policy Analysis and comprises a selection of longitudinal register data from Statistics Sweden and contains business-related information on firms and establishments operating in Sweden, irrespective of their legal status.

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