program _sgtevaluator version 12.0 args lnf beta \$sigma \$t1 \$g1 lambda p q tempvar x v m mu qui gen double `mu' = 0 qui gen double `x' = \$ML_y1-`beta' qui gen double `v' = (`q'^(-1/`p'))/((3*(`lambda'^2)+1)*(exp(lngamma(3/`p') + lngamma(`q'-2/`p')-lngamma(3/`p'+`q'-2/`p'))/exp(lngamma(1/`p')+lngamma(`q')-lngamma(1/`p'+`q')))-4*(`lambda'^2)*((exp(lngamma(2/`p')+lngamma(`q'-1/`p')-lngamma(2/`p'+`q'-1/`p')))^(2)/((exp(lngamma(1/`p')+lngamma(`q')-lngamma(1/`p'+`q')))^2)))^(1/2) if "\${arch}" != "0" | "\${garch}" != "0"{ tempvar sigma qui gen double `sigma' = \$insig^2 loc sigeq = "`a0'" local arch = \$arch local garch = \$garch loc max = `arch' if `garch' > `arch'{ local max = `garch' } forvalues i = 1/`arch'{ loc sigeq "`sigeq' + `a`i''*(`x'[_n-`i'])^2" } forvalues i = 1/`garch'{ loc sigeq "`sigeq' + `b`i''*`sigma'[_n-`i']" } qui replace `sigma' = `sigeq' if _n>`max' qui replace `sigma' = sqrt(abs(`sigma')) } qui gen double `m' = (2*`v'*`sigma'*`lambda'*`q'^(1/`p')*exp(lngamma(2/`p')+lngamma(`q'-1/`p')-lngamma(2/`p'+`q'-1/`p')))/(exp(lngamma(1/`p')+lngamma(`q')-lngamma(1/`p'+`q'))) qui replace `lnf' = ln(`p') - ln(2)-ln(`v')-ln(`sigma')-(1/`p')*ln(`q')-(lngamma(1/`p')+lngamma(`q')-lngamma(1/`p'+`q'))-(1/`p' + `q')*ln((((abs(`x' + `mu' + `m'))^(`p'))/(`q'*(`v'*`sigma')^(`p')*(`lambda'*sign(`x'-`mu'+`m')+1)^(`p')))+1) end