34 lines
1.1 KiB
Matlab
34 lines
1.1 KiB
Matlab
function gpi = fn_ergodp(P)
|
|
% gpi = fn_ergodp(P)
|
|
% Compute the ergodic probabilities. See Hamilton p.681.
|
|
%
|
|
% P: n-by-n matrix of transition matrix where all elements in each column sum up to 1.
|
|
%-----
|
|
% gpi: n-by-1 vector of ergodic probabilities.
|
|
%
|
|
% Tao Zha August 2000
|
|
|
|
% Copyright (C) 2000-2011 Tao Zha
|
|
%
|
|
% This file is part of Dynare.
|
|
%
|
|
% Dynare is free software: you can redistribute it and/or modify
|
|
% it under the terms of the GNU General Public License as published by
|
|
% the Free Software Foundation, either version 3 of the License, or
|
|
% (at your option) any later version.
|
|
%
|
|
% Dynare is distributed in the hope that it will be useful,
|
|
% but WITHOUT ANY WARRANTY; without even the implied warranty of
|
|
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
|
% GNU General Public License for more details.
|
|
%
|
|
% You should have received a copy of the GNU General Public License
|
|
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
|
|
|
|
[gpim,gpid] = eig(P); % m: matrix; d: diagonal
|
|
[gpidv,gpidvinx] = sort(diag(gpid));
|
|
gpidv = fliplr(gpidv);
|
|
gpidvinx = flipud(gpidvinx);
|
|
gpim = gpim(:,gpidvinx);
|
|
gpi = gpim(:,1)/sum(gpim(:,1));
|