Chasing the tail: a generalized pareto distribution approach to estimating wealth inequality

HIGHLIGHTS

• What: This paper develops an alternative approach, using the generalized Pareto distribution (GPD), of which the simple Pareto is a subset, extending an estimation strategy developed by Castillo and Hadi . The work reported in Vermeulen opened a line of research aimed at adjusting the upper tail of the wealth distribution measured in surveys, using eternal data derived from country-specific lists of very wealthy people . The paper shows, convincingly, that nonresponse bias together with an inadequate sampling rate in the highly skewed 1 See European Central Bank . Adapting the simple Pareto distribution to differentially sampled survey data . . .
  

   

  

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