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

[Stas Kolenikov <skolenik@gmail.com>]

On Mon, Nov 1, 2010 at 10:51 AM, Christopher Baum <kit.baum@bc.edu> wrote:
> 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.

I see -- in my blissful ignorance, I know this under the nickname of
the exponential power distribution. Having several names for the same
object is a sure way to confusion (what happens if you pass a matrix
to a Mata function both as a parameter by reference and as an
-external- declaration?). -gammap()-, -invgammap()- and -lngamma()-
functions should do the job, then. Looking into -viewsource arch.ado-
might help, too.

-- 
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.

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