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Re: st: Pareto v. lognormal

From   "Stas Kolenikov" <>
Subject   Re: st: Pareto v. lognormal
Date   Tue, 6 Mar 2007 21:22:07 -0600

On 3/6/07, Austin Nichols <> wrote:
Stas, Patrick, et al.--
The rationale for using ln(f(x)) instead of ln(1-F) is that I can
write down ln(f(x)) for both the Pareto and lognormal families, and I
can't write down F for the lognormal.
hmm... norm( (ln(x) - mu)/sigma ), in Stata's probability distributions slang?

There's a wealth of theory and tests behind various versions of
quantile plots (NJC mentioned some of those and their implementations
in Stata), and I tend to think those are more reputable than tests
based on kernel estimates, for which you have non-parametric
convergence rates, and need to worry about the optimal bandwidths. So
the theory and inference is moderately ugly there.

Stas Kolenikov
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