xtvfreg (Q7382227)
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Variance Function Panel Regression
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | xtvfreg |
Variance Function Panel Regression |
Statements
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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26 November 2025
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