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crch

Censored Regression with Conditional Heteroscedasticity

Installation

About

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. Infrastructure for working with censored or truncated normal, logistic, and Student-t distributions, i.e., d/p/q/r functions and distributions3 objects.

Citation crch citation info

Key Metrics

Version 1.1-2
R ≥ 3.6.0
Published 2023-03-27 367 days ago
Needs compilation? yes
License GPL-2
License GPL-3
CRAN checks crch results

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Maintainer

Maintainer

Jakob Messner

jakob.messner@posteo.net

Authors

Jakob Messner

aut / cre

Achim Zeileis

aut

Reto Stauffer

aut

Material

NEWS
Reference manual
Package source

In Views

Distributions
Econometrics

Vignettes

Heteroscedastic Censored and Truncated Regression with crch

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

crch archive

Depends

R ≥ 3.6.0

Imports

stats
Formula
ordinal
sandwich
scoringRules

Suggests

distributions3 ≥ 0.2.1
glmx
lmtest
memisc

Reverse Imports

exdqlm
MortalityGaps

Reverse Suggests

ensemblepp
insight
marginaleffects
NetSimR
scoringRules

Reverse Enhances

prediction