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) .


Reference manual

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install.packages("xtvfreg")

1.1.0 by Tim F. Liao, 10 months ago


Browse source code at https://github.com/cran/xtvfreg


Authors: Tim F. Liao [aut, cre]


Documentation:   PDF Manual  


MIT + file LICENSE license


Imports stats, rlang

Suggests haven, ggplot2, knitr, gt, modelsummary


See at CRAN