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英文标题：
《Empirical Methods for Dynamic Power Law Distributions in the Social
Sciences》
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作者：
Ricardo T. Fernholz
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最新提交年份：
2016
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英文摘要：
This paper introduces nonparametric econometric methods that characterize general power law distributions under basic stability conditions. These methods extend the literature on power laws in the social sciences in several directions. First, we show that any stationary distribution in a random growth setting is shaped entirely by two factors - the idiosyncratic volatilities and reversion rates (a measure of cross-sectional mean reversion) for different ranks in the distribution. This result is valid regardless of how growth rates and volatilities vary across different economic agents, and hence applies to Gibrat\'s law and its extensions. Second, we present techniques to estimate these two factors using panel data. Third, we show how our results offer a structural explanation for a generalized size effect in which higher-ranked processes grow more slowly than lower-ranked processes on average. Finally, we employ our empirical methods using panel data on commodity prices and show that our techniques accurately describe the empirical distribution of relative commodity prices. We also show the existence of a generalized \"size\" effect for commodities, as predicted by our econometric theory.
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中文摘要：
本文介绍了在基本稳定条件下刻画一般幂律分布的非参数经济计量方法。这些方法从几个方面扩展了社会科学中关于幂律的文献。首先，我们证明了随机增长环境中的任何平稳分布完全由两个因素决定——分布中不同等级的特质波动率和回归率（横截面平均回归的度量）。无论不同经济主体的增长率和波动率如何变化，这个结果都是有效的，因此适用于吉布拉特定律及其推广。其次，我们介绍了使用面板数据估计这两个因素的技术。第三，我们展示了我们的结果如何为广义规模效应提供结构解释，在这种效应中，排名较高的过程比排名较低的过程平均增长更慢。最后，我们利用商品价格的面板数据使用了我们的实证方法，并表明我们的技术准确地描述了相对商品价格的经验分布。我们还证明了商品的广义“规模”效应的存在，正如我们的计量经济学理论所预测的那样。
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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