# Fast Poisson estimation with high-dimensional fixed effects

“Fast Poisson estimation with high-dimensional fixed effects” (2020), by Sergio Correia et al. Economics research paper. Original abstract below, unchanged. No free PDF was found.

- Authors: Sergio Correia, Paulo Guimarães, Tom Zylkin
- Published: March 1, 2020
- Field: Economics
- DOI: https://doi.org/10.1177/1536867x20909691
- Source: https://doi.org/10.1177/1536867x20909691

## 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.

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