Fast Poisson estimation with high-dimensional fixed effects
Sergio Correia, Paulo Guimarães, Tom Zylkin
Abstract
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.