Details

Autor(en) / Beteiligte

• Correia, Sergio
• Guimarães, Paulo
• Zylkin, Tom

Titel

Fast Poisson estimation with high-dimensional fixed effects

Ist Teil von

• The Stata journal, 2020-03, Vol.20 (1), p.95-115

Ort / Verlag

Los Angeles, CA: SAGE Publications

Erscheinungsjahr

2020

Link zum Volltext

Quelle

Alma/SFX Local Collection

Beschreibungen/Notizen

• In this article, we present ppmlhdfe, a new command for estimation of (pseudo-)Poisson regression models with multiple high-dimensional fixed effects (HDFE). Estimation is implemented using a modified version of the iteratively reweighted least-squares algorithm that allows for fast estimation in the presence of HDFE. Because the code is built around the reghdfe package (Correia, 2014, Statistical Software Components S457874, Department of Economics, Boston College), it has similar syntax, supports many of the same functionalities, and benefits from reghdfe‘s fast convergence properties for computing high-dimensional leastsquares problems. Performance is further enhanced by some new techniques we introduce for accelerating HDFE iteratively reweighted least-squares estimation specifically. ppmlhdfe also implements a novel and more robust approach to check for the existence of (pseudo)maximum likelihood estimates.