Re: [Gretl-users] Optimization
Is it not the case that when the coefficients have a t-distribution that
the ols estimates have minimum variance and thus maximise the t-statistics.
If you are trying to fit a heavy tailed distribution to some phenomenum
and wis to estimate the appropriate degrees of freedom be sure to use a
form of generalised t-distribUtion as there are constraints on the mean and
variance of the standard t-distribution.
On Wednesday, 21 December 2011, clarodina(a)lycos.com <clarodina(a)lycos.com>
wrote:
Hi PS,
Want to have the coefficients maximising t value
Matlab have a add on doing the maximisation
How to do the maximising on gretl?
Clarodina
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John C Frain
Economics Department
Trinity College Dublin
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Ireland
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