以下是引用zhaosweden在2005-8-12 22:57:29的发言: what software are you using?
if u use GAUSS like, you can program it by yourself, (recall the definition of p value)
Eviews 5,0 should be able to deal with Generalized error distribution or t
1. Please refer to the following citation.
Nelson D.B. (1991); Conditional Heteroscedasticity in Asset Returns: A New Approach
2. Provided with logarithm of the gamma function or built-in GED pdf, it is easy to figure out the problem regarding GED. However, you have to know how the logl object works in EViews.
[此贴子已经被作者于2005-8-12 23:48:30编辑过]