XTVFREG: Stata module for estimating variance function panel regression

Tim Liao

Statistical Software Components from Boston College Department of Economics

Abstract: xtvfreg 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 is based on Mooi-Reci & Liao (2025) and consists of iteratively estimating (1) A mean equation using generalized linear models (GLM) with Gaussian family and identity link and (2) A variance equation using GLM with Gamma family and log link, applied to squared within-group (fixed effects) residuals. The algorithm alternates between these two steps, using the estimated variance from step (2) as analytic weights in step (1), until the change in the log-likelihood of the variance equation falls below the convergence criterion.

Language: Stata
Requires: Stata version 18
Keywords: variance function; panel data; regression (search for similar items in EconPapers)
Date: 2025-11-09, Revised 2025-11-19
Note: This module should be installed from within Stata by typing "ssc install xtvfreg". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/x/xtvfreg.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtvfreg.sthlp help file (text/plain)

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