st: arch

[Kit Baum <baum@bc.edu>]

A long-standing Wish (and Grumble) has been addressed. Thanks,  
StataCorp!

-------- update 12jul2007  
------------------------------------------------------------------

    Ado-files

     1.  arch now allows you to fit models assuming that the  
disturbances follow Student's
         t distribution or the generalized error distribution, as  
well as the Gaussian
         (normal) distribution.  Specify which distribution to use  
with the distribution()
         option.  You can specify the shape or degree-of-freedom  
parameter, or you can let
         arch estimate it along with the other parameters of the model.



Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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