*! version 1.0 03aug2015

Title

sgtreg -- Regression with a Skewed Generalized T Error Term

Syntax

sgtreg
depvar
indepvars
[, options]

Main
initial initial values for the coefficients

maximize_options control the
maximization process

Description

sgtreg fits a model of depvar on indepvars using maximum likelihood with an error term distributed as a skewed generalized t.

Options

Main

initial list of numbers that specifies the initial values of the coefficients.

maximize_options:
difficult,
technique(algorithm_spec),
iterate(#),
[no]log,
trace,
gradient,
showstep,
hessian,
showtolerance,
tolerance(#),
ltolerance(#),
nrtolerance(#); see [R] maximize.

Remarks

In cases where the convergence is difficult, try to use the option technique(bfgs), or the other two technique options. technique(bfgs) is often more robust than the default technique(nr).

Examples

. clear

. set obs 1000

. set seed 1234

. gen x1 = rnormal(0,1)

. gen x2 = runiform()

. gen y = 1 + 2*x1 + 3*x2 + rnormal(0,1)

. sgtreg y x1 x2, technique(bfgs)

References

Davis, Carter, James B. McDonald, and Daniel Walton. 2015.
A Generalized Regression Specification using the Skewed Generalized T Distribution,
working paper.