ergodic distribution from transition probaility matirx

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ergodic distribution from transition probaility matirx

Tuki
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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.

Thanks
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Re: ergodic distribution from transition probaility matirx

Tuki
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Dear Austin,
sure, I want a regular transition matrix, and be able to estimate the steady-state. Can you provide me with stata command that I can use for my own purpose like u said a maximum likelihood estimator that
constrains eigenvalues? Thank you very much.
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Re: ergodic distribution from transition probaility matirx

Tuki
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In reply to this post by Tuki
 Here is one of the transition matrices.
        c1 c2 c3 c4
r1 79.1 15.3 2.2 3.3
r2 14.7 52.6 26.3 6.3
r3 2.11 24.2 56.8 16.8
r4 5.49 5.4 15.4 73.6

The eigenvalue values obtained using matrix eigenvalues r c = A command are:
          c1         c2         c3         c4
real    26.4792  100.00018  59.843796  75.896828

My intention is that if there is command that I can use repeatedly on different data sets.
Thank you very much.


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Re: ergodic distribution from transition probaility matirx

Tuki
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In reply to this post by Tuki
How do I obtain the corresponding eigenvector systematically in stata?
I have gone through previous posts of the same question, but could not
find a satisfying answer.  I want to construct similar tables in the
paper (like Table 4) using a different data set :Hinloopen, J., & van
Marrewijk, C. (2001). On the Empirical Distribution of the Balassa
Index. Review of World Economics, Weltwirtschaftliches Archiv, Vol.
137, No.1 , 1-35.

Best,
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Re: ergodic distribution from transition probaility matirx

Tuki
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I've gone through posts: http://www.stata.com/statalist/archive/2011-01/msg00294.html and http://www.stata.com/statalist/archive/2003-03/msg00177.html

I came to understand that a problem arises when we're dealing with a non-symmetric matrix. what options are there?