SGTREG: Stata module to perform Regression using the Skewed Generalized T Distribution

Carter Davis ()
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Carter Davis: University of Chicago

Statistical Software Components from Boston College Department of Economics

Abstract: The standard linear regression model typically assumes that the errors are in- dependently and identically distributed. The corresponding ordinary least squares (OLS) estimators will yield the best linear approximation of the conditional mean. With this regression method, using the skewed generalize t (SGT) distribution, which can accommodate situations in which the conditional mean, variance and skewness of a variable of interest may vary as a function of independent variables. This method is described in the paper "A Generalized Regression Specification using the Skewed Generalized T Distribution", by Carter Davis, James McDonald, and Daniel Walton.

Language: Stata
Requires: Stata version 12
Keywords: regression; skewed-t; generalized-t; sgt distribution (search for similar items in EconPapers)
Date: 2015-08-11
Note: This module should be installed from within Stata by typing "ssc install sgtreg". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/s/sgtreg.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/s/sgtreg.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/s/sgtevaluator.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/s/sgtevaluator.sthlp help file (text/plain)

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