xtvfreg: Variance Function Panel Regression
Implements an iterative mean-variance panel regression estimator that allows both the mean and variance of the dependent variable to be functions of covariates. The method alternates between estimating a mean equation (using generalized linear models with Gaussian family) and a variance equation (using generalized linear models with Gamma family on squared within-group residuals) until convergence. Based on the methodology in Mooi-Reci and Liao (2025) <doi:10.1093/esr/jcae052>.
Documentation:
Downloads:
Linking:
Please use the canonical formhttps://CRAN.R-project.org/package=xtvfregto link to this page.