ppmlhdfe: Fast Poisson Estimation with High-Dimensional Fixed Effects

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 estima...

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Bibliographic Details
Published in:arXiv.org 2019-08
Main Authors: Correia, Sergio, Guimarães, Paulo, Zylkin, Thomas
Format: Article
Language:English
Subjects:
Algorithms
Building codes
Economic models
Maximum likelihood estimates
Poisson density functions
Regression analysis
Regression models
Statistical analysis
Online Access:Get full text
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Summary: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. Because the code is built around the reghdfe package, it has similar syntax, supports many of the same functionalities, and benefits from reghdfe's fast convergence properties for computing high-dimensional least squares problems. Performance is further enhanced by some new techniques we introduce for accelerating HDFE-IRLS estimation specifically. ppmlhdfe also implements a novel and more robust approach to check for the existence of (pseudo) maximum likelihood estimates.
ISSN:2331-8422
DOI:10.48550/arxiv.1903.01690