NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Rank-1/2: A Simple Way to Improve the OLS Estimation of Tail Exponents

Xavier Gabaix, Rustam Ibragimov

NBER Technical Working Paper No. 342
Issued in September 2007

---- Acknowledgements -----

The authors are grateful to the Editors, two anonymous referees, Gary Chamberlain, Victor Chernozhukov, Graham Elliott, Wolfgang Haerdle, Yoko Konishi, Hu McCulloch, Charles van Marrewijk, Marcelo Moreira, Yoshihiko Nishiyama, Peter Phillips, Sidney Resnick, Gennady Samorodnitsky, Jim Stock, and the participants at seminars at the Departments of Economics at Harvard University and MIT for helpful comments and discussions. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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