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st: arch


From   Kit Baum <[email protected]>
To   [email protected]
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 ------------------------------------------------------------------

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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