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Re: st: Generalized Error Distribution (GED) in Stata
From
Stas Kolenikov <[email protected]>
To
[email protected]
Subject
Re: st: Generalized Error Distribution (GED) in Stata
Date
Mon, 1 Nov 2010 10:35:27 -0400
2010/11/1 Ivo Jánský <[email protected]>:
> I wonder if Stata provides functions for the Generalized Error
> Distribution. Since I have estimated a model using the arch command
> with GED as the selected distribution, I would like to obtain a
> certain quantile of the GED in order to continue with my calculations.
> For this reason I need to use the inverse cumulative distribution
> function. Unfortunately, after searching the documentation and trying
> Google I have not been able to find such function. Does anyone know,
> how to obtain the value of the inverse cumulative distribution
> function of GED in Stata?
I wonder who came up with that name for a distribution. Since it is
not in the poster of univariate distributions (see
http://dx.doi.org/10.1198/000313008X270448), nor it is in Johnson &
Kotz encyclopedias, this distribution very likely does not generalize
as much as it promises. If there is no existing implementation, you
should write your own; that's what Stata is about.
--
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.
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