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Finance and Economics Discussion Series
The Finance and Economics Discussion Series logo links to FEDS home page A Generalization of Generalized Beta Distributions
Michael B. Gordy

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.

Keywords: Beta distribution, hypergeometric functions

Full paper (301 KB PDF) | Full paper (339 KB Postscript)

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Last update: April 30, 1998