This paper investigates the long-run relationships within a set of six quarterly time-series on the Austrian economy by means of cointegration. After analyzing the univariate properties, especially with respect to the appropriate seasonal filter, the maximum-likelihood method proposed by...

This paper analyses the relation between savings, social security, and bequests in an OLG model. The social security system is modelled on a pay-as-you-go basis to replicate aspects of the Austrian pension scheme. A bequest motive is introduced by postulating that households derive utility from...

Based on a relative entropy approach, this paper proposes a method to estimate or update transition matrices using just cross-sectional observations at two points in time. The method is then applied to explain the development of the US income distribution. Starting from three hypothesized...

We propose an approach to measure the mobility immanent in regular Markov processes. For this purpose, we distinguish between mobility in equilibrium and mobility associated with convergence towards equilibrium. The former aspect is measured as the expectation of a functional, defined on the...