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Working paper No. 216. On the Estimation of Skewed Geometric Stable Distribution

PublikationWorking paper
Daniel Halvarsson, Företagandets villkor, Geometric stable distributions
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Sammanfattning

The increasing interest in the application of geometric stable distributions has lead to a need for appropriate estimators. Building on recent procedures for estimating the Linnik distribution, this paper develops two estimators for the geometric stable distribution. Closed form expressions are provided for the signed and unsigned fractional moments of the distribution. The estimators are then derived using the methods of fractional lower order moments and that of logarithmic moments. Their performance is tested on simulated data, where the lower order estimators, in particular, are found to give efficient results over most of the parameter space.

Halvarsson, D. (2013). ”On the Estimation of Skewed Geometric Stable Distribution”. Ratio Working paper No. 216.


Liknande innehåll

Maximum Likelihood Estimation of Asymmetric Double Type II Pareto Distributions
Artikel (med peer review)Publikation
Halvarsson, D.
Publiceringsår

2020

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.

Working Paper no. 328 Wholesale firms: A catalyst for Swedish exports?
Working paperPublikation
Daunfeldt, S-O., Engberg, E., Halvarsson, D., Kokko, A. & Tingvall, P.
Publiceringsår

2019

Publicerat i

Ratio Working Paper

Sammanfattning

This paper examines the role of wholesale firms as facilitators of exports for small and medium-sized Swedish businesses. Our findings suggest that wholesale firms do facilitate access to difficult markets located outside Europe. For exports of a particular good to a given market, we observe a positive correlation between the export volumes of wholesale and manufacturing firms. Finally, we present evidence that supports a prediction from recent trade models with differentiated firms, namely that wholesale firms can facilitate exports for firms that are not themselves capable of direct exports.

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.

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