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

Author

Listed:
  • Carter Davis

    (University of Chicago)

Programming Language

Stata

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.

Suggested Citation

  • Carter Davis, 2015. "SGTREG: Stata module to perform Regression using the Skewed Generalized T Distribution," Statistical Software Components S458055, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s458055
    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.
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/s/sgtreg.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/s/sgtreg.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/s/sgtevaluator.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/s/sgtevaluator.sthlp
    File Function: help file
    Download Restriction: no
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