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re: Re: st: Generalized Error Distribution (GED) in Stata

From   Christopher Baum <>
To   <>
Subject   re: Re: st: Generalized Error Distribution (GED) in Stata
Date   Mon, 1 Nov 2010 10:51:21 -0400

Stas said

I wonder who came up with that name for a distribution. Since it is
not in the poster of univariate distributions (see,
 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.

This distribution is well known in the time series econometrics literature, and implemented by most programs that 
estimate ARCH/GARCH models -- including Stata. See [TS] arch and its distribution(ged) option. Stata's documentation

Nelson, D. B. 1991. Conditional heteroskedasticity in asset returns: A new approach. Econometrica 59: 347–370.

as using this distribution.  He in turn cites works by Harvey (1981), Box and Tiao (1973). In the Econometrica article, Nelson gives the GED density function, which involves the gamma function and the incomplete gamma function. 

Wikipedia's article( suggests that it is known as the Generalized normal distribution, the Exponential power distribution, etc. 


Kit Baum   |   Boston College Economics & DIW Berlin   |
                              An Introduction to Stata Programming  |
   An Introduction to Modern Econometrics Using Stata  |

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