ppmlhdfe: Fast Poisson Estimation with High-Dimensional Fixed Effects

 0 Người đánh giá. Xếp hạng trung bình 0

Tác giả: Sergio Correia, Paulo Guimarães, Thomas Zylkin

Ngôn ngữ: eng

Ký hiệu phân loại: 001.434 Experimental method

Thông tin xuất bản: 2019

Mô tả vật lý:

Bộ sưu tập: Báo, Tạp chí

ID: 162680

Comment: For associated code and data repository, see https://github.com/sergiocorreia/ppmlhdfeIn 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.
Tạo bộ sưu tập với mã QR

THƯ VIỆN - TRƯỜNG ĐẠI HỌC CÔNG NGHỆ TP.HCM

ĐT: (028) 36225755 | Email: tt.thuvien@hutech.edu.vn

Copyright @2024 THƯ VIỆN HUTECH