A Pickands type estimator of the extreme value index

One of the main goal of extreme value analysis is to estimate the probability of rare events given a sample from an unknown distribution. The upper tail behavior of this distribution is described by the extreme value index. We present a new estimator of the extreme value index adapted to any domain of attraction. Its construction is similar to the one of Pickands' estimator. its weak consistency and its asymptotic distribution are established and a bias reduction method is proposed. Our estimator is compared with classical extreme value index estimators through a simulation study

Houthakker and Ville's contributions to demand theory: a new look at the debate on integrability conditions.

Jean Ville gave, independently of Houthakker, and prior to him, a general one page proof of the integrability of demand functions in a revealed preference scheme. It happens that this essential contribution has been largely ignored in the literature. The comparison between Ville and Houthakker’s proofs makes room for discussing the assumptions necessary to encompass the discrete version of the acyclicity into a continuous version.

How Large is Your Reference Group

We discuss how specifications of interdependent preferences found in the literature yield biased estimates of parameters of the underlying consumption or choice models. We present new specifications which alleviate this problem and permit an estimation of the size of the reference group. This last point, a key element affecting the estimation biases, has been overlooked in most studies. Using French individual data on the reported subjective poverty level, we show that the reference group is likely to be very small. L'interdépendance des préférences telle que spécifiée dans les études économétriques de consommation ou de choix individuel conduit à des estimateurs biaisés. Dans cette étude, nous présentons de nouvelles spécifications économétriques qui prennent en contre ce problème et qui permettent un estimé de la taille du groupe de référence. Ce dernier élément est ignoré dans les écrits actuels et s'avère très important pour juger des biais d'estimation. Nous montrons à l'aide de données françaises sur le niveau relatif et subjectif de pauvreté que ce groupe de référence est vraisemblablement de très petite taille.Interdependent preference, biased estimates, size of the reference group, Interdépendance des préférences, estimateurs biaisés, taille du groupe de référence

Polish Households' behavior in the Regular and Informal Economies

This paper analyzes characteristics of the informal economy in Poland in the context of transition, using a specific survey carried out in the framework of the classic Labour Force Survey, conducted by the Polish National Statistical office (GUS), in 1995. The participation probabilities of three types of informal activities (working, buying and hiring) are discussed. Their interdependencies are analyzed in the light of the hypothesis of network or neighborhood effects. The impact of a household's participation in informal markets on its regular consumption is estimated by imputing the probability of its informal activity in the consumption surveys and panels. Such participation does significantly influence more than half of household's expenditure on goods and services. Moreover, the participants of the informal economy distinguish themselves by higher individual full prices (integrating both monetary and non-monetary constraints and resources).Informal economy ; consumer behavior ; cross-section-panel estimation

Polish Households' Behavior in the Regular and Informal Economies

The paper analyzes characteristics of the informal economy in Poland in the context of transition using a specific survey carried out in the frame of the classic Labor Force Survey 1995 by the Polish National Statistical office (GUS). The participation probabilities of three types of informal activities (working, buying and hiring) are discussed. Their interdependencies are discussed the hypothesis of the network or neighborhood effects. The impact of the household's participation on informal markets on its regular consumption is estimated by imputing the informal activity probabilities to the consumption surveys and panel. Then, the specific consumption profiles of participants in the informal market can be identified. This participation does influence significantly more than half of the household's expenditure groups. Moreover, the participants of the informal economy distinguish themselves by the higher individual full prices (integrating non monetary constraints and resources).Informal economy participation, Consumer behavior, Cross-section-panel estimation

On kernel smoothing for extremal quantile regression

Nonparametric regression quantiles obtained by inverting a kernel estimator of the conditional distribution of the response are long established in statistics. Attention has been, however, restricted to ordinary quantiles staying away from the tails of the conditional distribution. The purpose of this paper is to extend their asymptotic theory far enough into the tails. We focus on extremal quantile regression estimators of a response variable given a vector of covariates in the general setting, whether the conditional extreme-value index is positive, negative, or zero. Specifically, we elucidate their limit distributions when they are located in the range of the data or near and even beyond the sample boundary, under technical conditions that link the speed of convergence of their (intermediate or extreme) order with the oscillations of the quantile function and a von-Mises property of the conditional distribution. A simulation experiment and an illustration on real data were presented. The real data are the American electric data where the estimation of conditional extremes is found to be of genuine interest.Comment: Published in at http://dx.doi.org/10.3150/12-BEJ466 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm