xtvfreg
Variance Function Panel Regression
v1.1.0
·
Nov 26, 2025
·
MIT + file LICENSE
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>.
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OK 14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 9, 2026
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1.1.0
Mar 9, 2026