CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA

Taoufik Bouezmarni and Olivier Scaillet

Econometric Theory, 2005, vol. 21, issue 2, 390-412

Abstract: We consider asymmetric kernel density estimators and smoothed histograms when the unknown probability density function f is defined on [0,+∞). Uniform weak consistency on each compact set in [0,+∞) is proved for these estimators when f is continuous on its support. Weak convergence in L1 is also established. We further prove that the asymmetric kernel density estimator and the smoothed histogram converge in probability to infinity at x = 0 when the density is unbounded at x = 0. Monte Carlo results and an empirical study of the shape of a highly skewed income distribution based on a large microdata set are finally provided.We thank O. Linton and the three referees for constructive criticism and M.P. Feser and J. Litchfield for kindly providing the Brazilian data. We are grateful to I. Gijbels, J.M. Rolin, and I. Van Keilegom for their stimulating remarks and to participants at the workshop on statistical modeling (UCL 2002), LAMES (Sao Paulo 2002), L1 Norm conference (Neuchatel 2002), Geneva econometrics seminar, and KUL econometrics seminar for their comments. Part of this research was done when the second author was visiting THEMA and IRES. The first, resp. second, author gratefully acknowledges financial support from the “Projet d'Actions de Recherche Concertées” grant 98/03-217, and from the IAP research network grant P5/24 of the Belgian state, resp. the Swiss National Science Foundation through the National Centre of Competence in Research: Financial Valuation and Risk Management (NCCR-FINRISK).

Date: 2005
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