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ppmlhdfe: Fast Poisson Estimation with High-Dimensional Fixed Effects

Author

Listed:
  • Sergio Correia
  • Paulo Guimar~aes
  • Thomas Zylkin

Abstract

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.

Suggested Citation

  • Sergio Correia & Paulo Guimar~aes & Thomas Zylkin, 2019. "ppmlhdfe: Fast Poisson Estimation with High-Dimensional Fixed Effects," Papers 1903.01690, arXiv.org, revised Aug 2019.
  • Handle: RePEc:arx:papers:1903.01690
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    File URL: http://arxiv.org/pdf/1903.01690
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    References listed on IDEAS

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    1. Sergio Correia, 2016. "reghdfe: Estimating linear models with multi-way fixed effects," 2016 Stata Conference 24, Stata Users Group.
    2. Ana Rute Cardoso & Paulo Guimarães & Klaus F. Zimmermann, 2010. "Trends in Economic Research: An International Perspective," Kyklos, Wiley Blackwell, vol. 63(4), pages 479-494, November.
    3. John M. Abowd & Robert H. Creecy & Francis Kramarz, 2002. "Computing Person and Firm Effects Using Linked Longitudinal Employer-Employee Data," Longitudinal Employer-Household Dynamics Technical Papers 2002-06, Center for Economic Studies, U.S. Census Bureau.
    4. Cornelissen, Thomas, 2008. "The Stata command felsdvreg to fit a linear model with two high–dimensional fixed effects," Stata Journal, StataCorp LP, vol. 8(2), pages 1-20.
    5. Blackburn, McKinley L., 2007. "Estimating wage differentials without logarithms," Labour Economics, Elsevier, vol. 14(1), pages 73-98, January.
    6. Sergio Correia & Paulo Guimar~aes & Thomas Zylkin, 2019. "Verifying the existence of maximum likelihood estimates for generalized linear models," Papers 1903.01633, arXiv.org, revised Aug 2019.
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    Cited by:

    1. Benedikt Heid & Frank Stähler, 2020. "Structural Gravity and the Gains from Trade under Imperfect Competition," CESifo Working Paper Series 8121, CESifo Group Munich.
    2. Hendrik KRUSE & Thais NUNEZ-ROCHA & Camélia TURCU, 2019. "Infrastructure aid for resource trade? The crossroads of strategy and sustainable development," LEO Working Papers / DR LEO 2728, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    3. Delgadillo Chavarria, Carlos Bruno, 2019. "El Efecto de la Mediterraneidad sobre el Flujo Comercial Internacional: Evidencia Empírica Internacional y para América del Sur (1990-2016)
      [The Effect of Landlocked Country Status on International
      ," MPRA Paper 96093, University Library of Munich, Germany, revised 10 Sep 2019.
    4. Ulrich Schetter, 2019. "A Structural Ranking of Economic Complexity," CID Working Papers 119a, Center for International Development at Harvard University.
    5. Christophe BELLEGO & Louis-Daniel PAPE, 2019. "Dealing with the log of zero in regression models," Working Papers 2019-13, Center for Research in Economics and Statistics.
    6. Delgadillo Chavarria, Carlos Bruno, 2019. "El Efecto de la Mediterraneidad sobre el Flujo Comercial Internacional: Evidencia Empírica Internacional y para América del Sur (1990-2016)
      [The Effect of Landlocked Country Status on International
      ," MPRA Paper 96294, University Library of Munich, Germany, revised 10 Sep 2019.

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