ppmlhdfe: Fast Poisson Estimation with High-Dimensional Fixed Effects

5 Mar 2019  ·  Sergio Correia, Paulo Guimarães, Thomas Zylkin ·

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... Since the code is built around the reghdfe package it has similar syntax and supports many of the same functionalities. ppmlhdfe also implements a novel and more robust approach to check for the existence of (pseudo) maximum likelihood estimates. read more

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