Fast Poisson estimation with high-dimensional fixed effects

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.

• Publication year

  2019

• Venue

  The Stata Journal

• Publication date

  2019-03-05

• Fields of study

  Mathematics, Computer Science, Economics

• Identifiers
  DOI 10.1177/1536867X20909691arXiv 1903.01690
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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