Comparisons of stationary distributions of linear models

In this note, I compare stationary distributions of the linear model Xn+1=anXn+bn, where an and bn are non-negative random variables. I show that an increase of the variability of an and/or bn causes a less equal stationary distribution in terms of the Lorenz dominance. The result is useful in studies of wealth and income distributions.

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Year of publication:	2013
Authors:	Zhu, Shenghao
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 119.2013, 2, p. 221-223
Publisher:	Elsevier
Subject:	Comparisons \| Lorenz dominance \| Stationary distributions \| Linear models

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Type of publication:	Article
Classification:	D63 - Equity, Justice, Inequality, and Other Normative Criteria and Measurement ; D31 - Personal Income, Wealth and Their Distributions
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010664113