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.
| Version: | 1.0-0 |
| Depends: | R (≥ 2.10.0) |
| Imports: | stats, Formula, ordinal |
| Suggests: | glmx, lmtest, memisc |
| Published: | 2016-10-18 |
| Author: | Jakob Messner [aut, cre], Achim Zeileis [aut] |
| Maintainer: | Jakob Messner <jwmm at elektro.dtu.dk> |
| License: | GPL-2 | GPL-3 |
| NeedsCompilation: | yes |
| Citation: | crch citation info |
| Materials: | NEWS |
| In views: | Econometrics |
| CRAN checks: | crch results |
| Reference manual: | crch.pdf |
| Vignettes: |
Heteroscedastic Censored and Truncated Regression with crch |
| Package source: | crch_1.0-0.tar.gz |
| Windows binaries: | r-devel: crch_1.0-0.zip, r-release: crch_1.0-0.zip, r-oldrel: crch_1.0-0.zip |
| OS X Mavericks binaries: | r-release: crch_1.0-0.tgz, r-oldrel: crch_1.0-0.tgz |
| Old sources: | crch archive |
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