A Generalization of Generalized Beta Distributions

Posted: 1 Jun 1998

Date Written: April 8, 1998

Abstract

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.

JEL Classification: C10, D91, G11

Suggested Citation

Gordy, Michael B., A Generalization of Generalized Beta Distributions (April 8, 1998). FEDS Paper No. 98-18. Available at SSRN: https://ssrn.com/abstract=92193

Michael B. Gordy (Contact Author)

Federal Reserve Board ( email )

20th & C. St., N.W.
Washington, DC 20551
United States
202-452-3705 (Phone)

HOME PAGE: http://https://www.federalreserve.gov/econres/michael-b-gordy.htm

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