You'd need to clone one or more existing programs, e.g. -qnorm-, -pnorm-
and replace code there with code specific to the t-distribution.
I am not familiar with the etiquette on fitting t-distributions. Isn't
the df in effect a parameter to be estimated? Otherwise, there would
need to be some justification for using a particular df.
Nick
[email protected]
tzygmund mcfarlane
Thanks for your replies Martin & Nick.
Martin: My question was actually simpler - was my procedure correct?
That is, should the data be standardised by an estimate of the scale
before using the Kolmogorov-Smirnov procedure or is that not
necessary?
Also, from the help file for chi2fit by Stas Kolenikov I could not
figure out how to implement it for a t-distribution. Any help will be
appreciated.
Nick: I am particularly interested in deviation from a t-distribution.
My data is almost certainly non-normal. I agree about the merits of
plotting it, but am not aware of any tools for my particular case. Any
ideas?
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