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Re: st: ergodic distribution from transition probaility matirx

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

Tuki <[email protected]>:
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 <[email protected]> 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.
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