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A generalization of generalized beta distributions

  • Michael B. Gordy

This paper introduces the ``compound confluent hypergeometric'' (CCH) distribution. The CCH unifies and generalizes three recently introduced generalizations of the beta distribution: the Gauss hypergeometric (GH) distribution of Armero and Bayarri (1994), the generalized beta (GB) distribution of McDonald and Xu (1995), and the confluent hypergeometric (CH) distribution of Gordy (forthcoming). Unlike the beta, GB and GH, the CCH allows for conditioning on explanatory variables in a natural and convenient way. The CCH family is conjugate for gamma distributed signals, and so may also prove useful in Bayesian analysis. Application of the CCH is demonstrated with two measures of household liquid assets. In each case, the CCH yields a statistically significant improvement in fit over the more restrictive alternatives.

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Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series Finance and Economics Discussion Series with number 1998-18.

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Date of creation: 1998
Date of revision:
Handle: RePEc:fip:fedgfe:1998-18
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  1. Laibson, David, 1997. "Golden Eggs and Hyperbolic Discounting," The Quarterly Journal of Economics, MIT Press, vol. 112(2), pages 443-77, May.
  2. James M. Poterba & Andrew Samwick, 2001. "Household Portfolio Allocation over the Life Cycle," NBER Chapters, in: Aging Issues in the United States and Japan, pages 65-104 National Bureau of Economic Research, Inc.
  3. Christopher D. Carroll, 1992. "The Buffer-Stock Theory of Saving: Some Macroeconomic Evidence," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 23(2), pages 61-156.
  4. McDonald, James B. & Xu, Yexiao J., 1995. "A generalization of the beta distribution with applications," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 133-152.
  5. Arthur B. Kennickell & Martha Starr-McCluer & Annika E. Sunden, 1997. "Family finances in the U.S.: recent evidence from the Survey of Consumer Finances," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue Jan, pages 1-24.
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