EconPapers    
Economics at your fingertips  
 

Practical Kolmogorov-Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea

Jin Seo Cho (jinseocho@yonsei.ac.kr), Myung-Ho Park and Peter Phillips
Additional contact information
Myung-Ho Park: Korea Institute of Public Finance

No 2016rwp-88, Working papers from Yonsei University, Yonsei Economics Research Institute

Abstract: We study Kolmogorov-Smirnov goodness of fit tests for evaluating distributional hypotheses where unknown parameters need to be fitted. Following work of Pollard (1980), our approach uses a Cram¢¥ervon Mises minimum distance estimator for parameter estimation. The asymptotic null distribution of the resulting test statistic is represented by invariance principle arguments as a functional of a Brownian bridge in a simple regression format for which asymptotic critical values are readily delivered by simulations. Asymptotic power is examined under fixed and local alternatives and finite sample performance of the test is evaluated in simulations. The test is applied to measure top income shares using Korean income tax return data over 2007 to 2012. When the data relate to estimating the upper 0.1% or higher income shares, the conventional assumption of a Pareto tail distribution cannot be rejected. But the Pareto tail hypothesis is rejected for estimating the top 1.0% or 0.5% income shares at the 5% significance level. A Supplement containing proofs and data descriptions is available online. Key Words: Distribution-free asymptotics, null distribution, minimum distance estimator, Cr¢¥amer-von Mises distance, top income shares, Pareto interpolation.

JEL-codes: C12 C13 D31 E01 O15 (search for similar items in EconPapers)
Pages: 32pages
Date: 2016-06
New Economics Papers: this item is included in nep-ecm and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://121.254.254.220/repec/yon/wpaper/2016rwp-88.pdf (application/pdf)

Related works:
Journal Article: Practical Kolmogorov–Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea (2018) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:yon:wpaper:2016rwp-88

Access Statistics for this paper

More papers in Working papers from Yonsei University, Yonsei Economics Research Institute Contact information at EDIRC.
Bibliographic data for series maintained by YERI (yeri4065@yonsei.ac.kr).

 
Page updated 2024-12-27
Handle: RePEc:yon:wpaper:2016rwp-88