M. Dashti Moghaddam, Jeffrey Mills, R. A. Serota
arXiv 11 Jun 2019 · Econometrics · 4 citations (OpenAlex)
arXiv:1906.04822 · PDF · DOI · OpenAlex · Extracted main text
We argue that a stochastic model of economic exchange, whose steady-state distribution is a Generalized Beta Prime (also known as GB2), and some unique properties of the latter, are the reason for GB2's success in describing wealth/income distributions. We use housing sale prices as a proxy to wealth/income distribution to numerically illustrate this point. We also explore parametric limits of the distribution to do so analytically. We discuss parametric properties of the inequality indices -- Gini, Hoover, Theil T and Theil L -- vis-a-vis those of GB2 and introduce a new inequality index, which serves a similar purpose. We argue that Hoover and Theil L are more appropriate measures for distributions with power-law dependencies, especially fat tails, such as GB2.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | J. B. McDonald, Modeling Income Distributions and Lorenz Curves (Cho… (2008) Ch | 0.843 | 3 | 3 | 100% |
| 2 | M. Dashti Moghaddam, R. Serota, Combined mutiplicative-heston model… (1807) 10793 | 0.737 | 3 | 2 | 100% |
| 3 | G. Hertzler, "classical" probability distributions for stochastic dy… (2003) | 0.737 | 3 | 2 | 100% |
| 4 | J.-P. Bouchaud, M. Mézard, Wealth condensation in a simple model of… (2000) 536–545 | 0.644 | 2 | 2 | 100% |
| 5 | D. Chotikapanich, W. E. Griffiths, G. Hajargasht, W. Karunarathne, P… (2018) 21 | 0.644 | 2 | 2 | 100% |
| 6 | A. A. Dragulescu, V. M. Yakovenko, Probability distribution of retur… (2002) 445–455 | 0.644 | 2 | 2 | 100% |
| 7 | T. Ma, J. G. Holden, R. Serota, Distribution of wealth in a network… (2013) 2434–2441 | 0.644 | 2 | 2 | 100% |
| 8 | T. Ma, R. Serota, A model for stock returns and volatility, Physica… (2014) 89–115 | 0.644 | 2 | 2 | 100% |
| 9 | J. B. McDonald, Y. J. Xu, A generalization of the beta distribution… (1995) 133–152 | 0.644 | 2 | 2 | 100% |
| 10 | M. Dashti Moghaddam, J. Liu, R. A. Serota, Implied and realized vola… (1906) 02306 self | 0.511 | 2 | 1 | 100% |
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