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摘要翻译：
本文提出了一种新的用于多高维固定效应(HDFE)下（伪）泊松回归模型估计的Stata命令ppmlhdfe。估计是使用迭代重新加权最小二乘(IRLS)算法的改进版本来实现的，该算法允许在HDFE存在的情况下快速估计。由于代码是围绕reghdfe包构建的，因此它具有类似的语法，支持许多相同的功能，并得益于reghdfe在计算高维最小二乘问题时的快速收敛特性。我们引入了一些新的加速HDFE-IRLS估计的技术，进一步提高了性能。ppmlhdfe还实现了一种新的、更鲁棒的方法来检查（伪）最大似然估计的存在性。
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英文标题：
《ppmlhdfe: Fast Poisson Estimation with High-Dimensional Fixed Effects》
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作者：
Sergio Correia, Paulo Guimar\~aes, Thomas Zylkin
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最新提交年份：
2019
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分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
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.
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PDF链接：
https://arxiv.org/pdf/1903.01690
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