dynare/matlab/swz/cstz/fn_ergodp.m

17 lines
490 B
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
[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));