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

[Robert A Yaffee <bob.yaffee@nyu.edu>]

Stas, Kit,
   The version I have seen commonly used is Wikiepedia's version 1 of the GED.
             -  Bob


Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University

Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf

CV:  http://homepages.nyu.edu/~ray1/vita.pdf

----- Original Message -----
From: Christopher Baum <kit.baum@bc.edu>
Date: Monday, November 1, 2010 10:52 am
Subject: re: Re: st: Generalized Error Distribution (GED) in Stata
To: statalist@hsphsun2.harvard.edu


> <>
> 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
> 
> 
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