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DARP Paper
Sensitivity of Inequality Measures to Extreme Values, (published in Journal of Econometrics, vol. 141, (2007), pp. 1044-1072).
Frank A Cowell and Emmanuel Flachaire March 2002
Paper No' DARP 060:
Full Paper (pdf)

Tags: inequality measures; statistical performance; robustness.

We examine the sensitivity of estimates and inequality indices to extreme values, in the sense of their robustness properties and of their statistical performance. We establish that these measures are very sensitive to the properties of the income distribution. Estimation and inference can be dramatically affected, especially when the tail of the income distribution is heavy.