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Re: st: arch


From   "Tamazian, Artur" <oartur@usc.es>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: arch
Date   Tue, 17 Jul 2007 14:55:22 +0200

 Congrats StataCorp, that's really a good step ahead.

 Best,
 Artur

Estase citando Robert A Yaffee <bob.yaffee@nyu.edu>:

I second Kit's thanks for the ARCH multidistributional option.
It was indeed an an important upgrade.
  Thank you StataCorp.
        Bob Yaffee


Robert A. Yaffee, Ph.D.
Research Professor
Shirley M. Ehrenkranz
School of Social Work
New York University

home address:
Apt 19-W
2100 Linwood Ave.
Fort Lee, NJ
07024-3171
Phone: 201-242-3824
Fax: 201-242-3825
yaffee@nyu.edu

----- Original Message -----
From: Kit Baum <baum@bc.edu>
Date: Tuesday, July 17, 2007 6:51 am
Subject: st: arch
To: statalist@hsphsun2.harvard.edu


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

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

     Ado-files

      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
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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