Gray,
I know eviews can do it. The simpliest way is to choose the correct
pull down menu. It has been empirically established that using GED or
t-distribution does not make a lot of differences in terms of
coefficients estimates. Also the test using fat tailed distribution
often reject the hypothesis that the error comes from such a
distribution. For more, see Hentschel (1995) Journal of Financial
Economics.
Faye
On 5/2/05, gary tian <[email protected]> wrote:
> Dear all, Does any one know if ther is any stata program which can run
> (E)GARCH model with generilised error distribution with fixed parameter,
> thanks. Gary
>
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]]On Behalf Of Richard
> Williams
> Sent: Tuesday, 3 May 2005 9:05 AM
> To: [email protected]
> Subject: Re: st: Question about ML
>
> At 01:23 PM 5/2/2005 -0400, Cameron Hooper wrote:
> >Hi
> >
> >I have a question about using the -ml- command. I've had a look at the
> >reference manual, but it's a bit over my head. I've seen the book about
> >ML available from Stata, but I thought someone on this list might be able
> >to help me out.
>
> Cameron, I don't think it is clear what the question is. Are you just
> asking "How do I write a program to do this" or is there a more specific
> question you have in mind?
>
> I found that I had pretty good luck copying large chunks of the code from
> the ML book verbatim. The tricky part, I think, is writing the likelihood
> evaluator and the other code that is unique to your problem.
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
