Fast Poisson estimation with high-dimensional fixed effects

• Type: Article in International Scientific Journal
• Date: 2020

Authors

Correia, S (Author) Other; Paulo Guimaraes (Author) FEP; Zylkin, T (Author) Other

Journal

Title: Stata Journal

Vol. 20 No. 1

Pages: 95-115

ISSN: 1536-867X

Publisher: Stata Press

Indexing

ISI Web of Knowledge - 391 Citations

Scopus - 389 Citations

Other information

Authenticus ID: P-00R-YF6

DOI: 10.1177/1536867x20909691

Abstract (EN): 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.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 21