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ppmlhdfe: Fast Poisson Estimation with High-Dimensional Fixed Effects

Sergio Correia, Paulo Guimar\~aes and Thomas Zylkin ()

Papers from arXiv.org

Abstract: In this paper we present ppmlhdfe, a new Stata 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 (IRLS) algorithm that allows for fast estimation in the presence of HDFE. Because the code is built around the reghdfe package, it has similar syntax, supports many of the same functionalities, and benefits from reghdfe's fast convergence properties for computing high-dimensional least squares problems. Performance is further enhanced by some new techniques we introduce for accelerating HDFE-IRLS estimation specifically. ppmlhdfe also implements a novel and more robust approach to check for the existence of (pseudo) maximum likelihood estimates.

Date: 2019-03, Revised 2019-08
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http://arxiv.org/pdf/1903.01690 Latest version (application/pdf)

Related works:
Working Paper: ppmlhdfe: Fast Poisson estimation with high-dimensional fixed effects (2020) Downloads
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