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xtvfreg  

Variance Function Panel Regression
View on CRAN: Click here


Download and install xtvfreg package within the R console
Install from CRAN:
install.packages("xtvfreg")

Install from Github:
library("remotes")
install_github("cran/xtvfreg")

Install by package version:
library("remotes")
install_version("xtvfreg", "1.1.0")



Attach the package and use:
library("xtvfreg")
Maintained by
Tim F. Liao
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2025-11-26
Latest Update: 2025-11-26
Description:
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>.
How to cite:
Tim F. Liao (2025). xtvfreg: Variance Function Panel Regression. R package version 1.1.0, https://cran.r-project.org/web/packages/xtvfreg. Accessed 12 Sep. 2026.
Previous versions and publish date:
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Complete documentation for xtvfreg
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Full xtvfreg package functions and examples
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