crch: Censored Regression with Conditional Heteroscedasticity

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: 0.9-1
Depends: R (≥ 2.10.0)
Imports: stats, Formula, ordinal
Suggests: glmx, lmtest
Published: 2015-08-06
Author: Jakob Messner [aut, cre], Achim Zeileis [aut]
Maintainer: Jakob Messner <Jakob.Messner at uibk.ac.at>
License: GPL-2 | GPL-3
NeedsCompilation: no
Citation: crch citation info
Materials: NEWS
In views: Econometrics
CRAN checks: crch results

Downloads:

Reference manual: crch.pdf
Vignettes: Heteroscedastic Censored and Truncated Regression with crch
Package source: crch_0.9-1.tar.gz
Windows binaries: r-devel: crch_0.9-1.zip, r-release: crch_0.9-1.zip, r-oldrel: crch_0.9-1.zip
OS X Snow Leopard binaries: r-release: crch_0.9-1.tgz, r-oldrel: crch_0.1-0.tgz
OS X Mavericks binaries: r-release: crch_0.9-1.tgz
Old sources: crch archive