Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, is already up and running.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: ergodic distribution from transition probaility matirx

From   Austin Nichols <>
Subject   Re: st: ergodic distribution from transition probaility matirx
Date   Wed, 21 Sep 2011 10:07:15 -0400

Tuki <>:
You need to give full refs to those papers if you want good help.
I guess you estimated a non-ergodic transition matrix, and you want
the nearest ergodic matrix in some metric?
Are you sure you don't want a regular transition matrix, to ensure
convergence to a unique steady state?
You may want to write out a maximum likelihood estimator that
constrains eigenvalues.

On Wed, Sep 21, 2011 at 8:07 AM, Tuki <> wrote:
> Dear all,
> I was able to construct the transition probability matrix, and be able to
> reproduce the tables in articles that I'm currently working on. But, I could
> not reproduce in those tables, the ergodic and initial estimates. Can
> anybody tell me the Stata command that can be used.
*   For searches and help try:

© Copyright 1996–2016 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index