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crch

swMATH ID: 17210
Software Authors: Jakob Messner, Achim Zeileis
Description: R package crch. Different approaches to censored or truncated regression with conditional heteroscedasticity are provided. First, continuous distributions can be used for the (right and/or left censored or truncated) response with separate linear predictors for the mean and variance. Second, cumulative link models for ordinal data (obtained by interval-censoring continuous data) can be employed for heteroscedastic extended logistic regression (HXLR). In the latter type of models, the intercepts depend on the thresholds that define the intervals.
Homepage: https://cran.r-project.org/web/packages/crch/index.html
Dependencies: R
Keywords: CRAN; R package; Censored Regression; Conditional Heteroscedasticity; truncated regression
Related Software: R; survival; lfe; Mlogit; ordinal; Stata; avar; pcse; countreg; pscl; plm; multiwayvcov; lmtest; lme4; lattice; geepack; boot; sandwich; BeSS; subselect
Referenced in: 0 Publications