Nonparametric methods and local‐time‐based estimation for dynamic power law distributions
动态幂律分布的非参数方法与基于局部时间的估计
Summary 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…