sgtreg.pkg

v 2.0
d sgtreg Skewed Generalized T Regression Package
d Carter Davis, University of Chicago Booth School of Business
d The standard linear regression model typically assumes that the 
d errors are independently and identically distributed. The 
d corresponding ordinary least squares (OLS) estimator will yield 
d the best linear approximation of the conditional mean. This 
d regression method, which uses the skewed generalize t (SGT) 
d distribution, can accommodate situations in which the conditional 
d mean, variance and skewness of a variable of interest may vary as 
d a function of independent variables. This method is described in 
d the paper "A Generalized Regression Specification using the Skewed 
d Generalized T Distribution", by Carter Davis, James McDonald, and 
d Daniel Walton.
d 
d Support: cdavis40@chicagobooth.edu
d 
p sgtreg Regression with the Skewed Generalized T Distribution
f sgtevaluatorva.ado
f sgtevaluatorva.sthlp
f sgedevaluatorva.ado
f sgedevaluatorva.sthlp
f sgtevaluator.ado
f sgtevaluator.sthlp
f sgedevaluator.ado
f sgedevaluator.sthlp
f sgtreg.ado
f sgtreg.sthlp