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st: arch

From   Kit Baum <>
Subject   st: arch
Date   Tue, 17 Jul 2007 06:49:19 -0400

A long-standing Wish (and Grumble) has been addressed. Thanks, StataCorp!

-------- update 12jul2007 ------------------------------------------------------------------


1. arch now allows you to fit models assuming that the disturbances follow Student's
t distribution or the generalized error distribution, as well as the Gaussian
(normal) distribution. Specify which distribution to use with the distribution()
option. You can specify the shape or degree-of-freedom parameter, or you can let
arch estimate it along with the other parameters of the model.

Kit Baum, Boston College Economics and DIW Berlin
An Introduction to Modern Econometrics Using Stata:

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