Fast Poisson estimation with high-dimensional fixed effects

• Tipo: Artigo em Revista Científica Internacional
• Data: 2020

Autores

Correia, S (Autor) Outra; Paulo Guimaraes (Autor) FEP; Zylkin, T (Autor) Outra

Revista

Título: Stata Journal

Vol. 20 Nº 1

Páginas: 95-115

ISSN: 1536-867X

Editora: Stata Press

Indexação

ISI Web of Knowledge - 391 Citações

Scopus - 389 Citações

Outras Informações

ID Authenticus: 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.

Idioma: Inglês

Tipo (Avaliação Docente): Científica

Nº de páginas: 21