Thanks to Kit Baum, a new package -gevfit- is available from SSC. Use
-ssc- to install. -gevfit- fits a three parameter generalized extreme
value distribution by maximum likelihood, optionally as dependent on
covariates. Stata 10.0 is required
In addition, there is an ancillary data file from Stuart Cole and Luis
Pericchi "Anticipating catastrophes through extreme value modelling"
(2003. Journal Of The Royal Statistical Society Series C, Royal
Statistical Society, vol. 52(4), pages 405-416).
A list of other Stata packages to fit distributions by maximum
likelihood was recently posted by Nick. See
http://www.stata.com/statalist/archive/2007-11/msg00652.html
Scott
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