Generalized Beta Prime Distribution: Stochastic Model of Economic Exchange and Properties of Inequality Indices

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Tác giả: Jeffrey Mills, M. Dashti Moghaddam, R. A Serota

Ngôn ngữ: eng

Ký hiệu phân loại: 003.76 Stochastic systems

Thông tin xuất bản: 2019

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 162999

Comment: 19 pages, 14 figures, 16 TablesWe 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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