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Instrumental-Variable Poisson PML with High-Dimensional Fixed Effects

Author

Listed:
  • Ohyun Kwon

    (School of Economics, Drexel University)

  • Mario Larch

    (University of Bayreuth)

  • Jangsu Yoon

    (Department of Economics, University of Kentucky)

  • Yoto Yotov

    (School of Economics, Drexel University)

Abstract

We implement an instrumental-variable Poisson pseudo-maximum likelihood estimator with high-dimensional fixed effects (IV-PPML-HDFE). To correct for incidental parameter bias, we use a split-panel jackknife (SPJ) routine with bootstrapped standard errors. Monte Carlo simulations across the three most common fixed-effect structures confirm that SPJ reduces the mean absolute bias by 42% and raises mean bootstrap confidence-interval coverage from 69% to 92%. We provide a robust and user-friendly ‘ivppmlhdfe’ package, and deploy it in three empirical applications to establish the validity and usefulness of our methods.

Suggested Citation

  • Ohyun Kwon & Mario Larch & Jangsu Yoon & Yoto Yotov, 2026. "Instrumental-Variable Poisson PML with High-Dimensional Fixed Effects," Working Papers 202611, Center for Global Policy Analysis, LeBow College of Business, Drexel University.
    • Handle: RePEc:drx:wpaper:202611
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    File URL: https://www.lebow.drexel.edu/sites/default/files/2026-04/cgpa_paper_2026_11-instrumental-variable.pdf
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    Keywords

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    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation
    • F14 - International Economics - - Trade - - - Empirical Studies of Trade

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