APPMLHDFE: Stata module to estimate asymmetric Poisson regression with high dimensional fixed effects

Matthew Clance and João Santos Silva

Statistical Software Components from Boston College Department of Economics

Abstract: appmlhdfe estimates conditional expectiles using Efron's (1992) asymmetric Poisson maximum likelihood estimator; the expectiles are assumed to be an exponential function of a linear index, just like in standard Poisson regression. By default, the expectile 0.5 is estimated, which corresponds to Poisson regression.

Language: Stata
Requires: Stata version 11.1, ppmlhdfe and reghdfe from SSC (q.v.)
Keywords: Poisson; asymmetric Poisson; fixed effects (search for similar items in EconPapers)
Date: 2025-01-25
Note: This module should be installed from within Stata by typing "ssc install appmlhdfe". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/a/appmlhdfe.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/a/appmlhdfe.sthlp help file (text/plain)

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