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Rank − 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents

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  • Gabaix, Xavier
  • Ibragimov, Rustam
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  • Gabaix, Xavier & Ibragimov, Rustam, 2011. "Rank − 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 24-39.
    • Handle: RePEc:bes:jnlbes:v:29:i:1:y:2011:p:24-39
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    File URL: http://pubs.amstat.org/doi/abs/10.1198/jbes.2009.06157
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