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st: arch
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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