A generalization of generalized beta distributions
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.
|Date of creation:||1998|
|Date of revision:|
|Contact details of provider:|| Postal: 20th Street and Constitution Avenue, NW, Washington, DC 20551|
Web page: http://www.federalreserve.gov/
More information through EDIRC
|Order Information:||Web: http://www.federalreserve.gov/pubs/feds/fedsorder.html|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- James M. Poterba & Andrew A. Samwick, 1997.
"Household Portfolio Allocation Over the Life Cycle,"
NBER Working Papers
6185, National Bureau of Economic Research, Inc.
- 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.
- 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.
- McDonald, James B. & Xu, Yexiao J., 1995. "A generalization of the beta distribution with applications," Journal of Econometrics, Elsevier, vol. 69(2), pages 427-428, October.
- 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.
- Laibson, David I., 1997.
"Golden Eggs and Hyperbolic Discounting,"
4481499, Harvard University Department of Economics.
When requesting a correction, please mention this item's handle: RePEc:fip:fedgfe:1998-18. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marlene Vikor)
If references are entirely missing, you can add them using this form.