Capital income inequality: evidences from ECHP data

Micro-data of European Union (EU) countries show that capital incomes account for a large part of disparity in populations and follow heavy-tailed distributions. Measuring and comparing the disparity requires incorporating the relative nature of ‘small’ and ‘large,’ and for the latter reason we employ the newly developed Zenga index of economic inequality. Its non-parametric plug-in estimator does not fall into any well known class of statistics, hence inferential theory should be developed ad hoc by first constructing an appropriate heavy-tailed Zenga estimator, then establishing its asymptotic distribution, and finally deriving confidence intervals. The developed theory allows to measure and compare capital inequality in the ECHP data