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From |
Christopher Baum <kit.baum@bc.edu> |

To |
<statalist@hsphsun2.harvard.edu> |

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 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. 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 cites 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(http://en.wikipedia.org/wiki/Generalized_normal_distribution) suggests that it is known as the Generalized normal distribution, the Exponential power distribution, etc. Kit Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: Re: st: Generalized Error Distribution (GED) in Stata***From:*Stas Kolenikov <skolenik@gmail.com>

**Re: re: Re: st: Generalized Error Distribution (GED) in Stata***From:*Robert A Yaffee <bob.yaffee@nyu.edu>

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