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POI2HDFE: Stata module to estimate a Poisson regression with two high-dimensional fixed effects

Author

Listed:
  • Paulo Guimaraes

    (University of Porto)

Programming Language

Stata

Abstract

This command allows for the estimation of a Poisson regression model with two high dimensional fixed effects. Estimation is implemented by an iterative process using the algorithm of Iteratively Reweighted Least Squares (IRLS) that avoids creating the dummy variables for the fixed effects. It supports robust and cluster robust standard errors. It also allows the inclusion of an exposure variable.

Suggested Citation

  • Paulo Guimaraes, 2014. "POI2HDFE: Stata module to estimate a Poisson regression with two high-dimensional fixed effects," Statistical Software Components S457777, Boston College Department of Economics, revised 16 Sep 2016.
    • Handle: RePEc:boc:bocode:s457777
    Note: This module should be installed from within Stata by typing "ssc install poi2hdfe". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/p/poi2hdfe.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/p/poi2hdfe.sthlp
    File Function: help file
    Download Restriction: no
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