Thanks to Kit Baum, the ppmlhdfe package is now on SSC (together with updated versions of reghdfe and ftools, which ppmlhdfe uses).
ppmlhdfe is a joint work with Tom Zylkin and Paulo Guimaraes, and is equivalent to reghdfe for Poisson (and pseudo Poisson) models. From the help file:
ppmlhdfe implements Poisson pseudo-maximum likelihood regressions (PPML) with multi-way fixed effects, as described by Correia, Guimarães, Zylkin (2019a). The estimator employed is
robust to statistical separation and convergence issues, due to the procedures developed in Correia, Guimarães, Zylkin (2019b).
This package has four key advantages:
1. Allows any number and combination of fixed effects and individual slopes.
2. Correctly detects and drops separated observations (Correia, Guimarães, Zylkin 2019b). This issue would be otherwise particularly pernicious in regressions with many fixed
effects, and can lead to lack of convergence, or even worse, incorrect estimates.
3. Allows two- and multi-way clustering, and can be used in combination with boottest to derive wild bootstrap inference.
4. Includes several algorithmic shortcuts and accelerations aimed at allowing its use with very large datasets.
robust to statistical separation and convergence issues, due to the procedures developed in Correia, Guimarães, Zylkin (2019b).
This package has four key advantages:
1. Allows any number and combination of fixed effects and individual slopes.
2. Correctly detects and drops separated observations (Correia, Guimarães, Zylkin 2019b). This issue would be otherwise particularly pernicious in regressions with many fixed
effects, and can lead to lack of convergence, or even worse, incorrect estimates.
3. Allows two- and multi-way clustering, and can be used in combination with boottest to derive wild bootstrap inference.
4. Includes several algorithmic shortcuts and accelerations aimed at allowing its use with very large datasets.
Code:
cap ado uninstall ftools cap ado uninstall reghdfe cap ado uninstall ppmlhdfe ssc install ftools ssc install reghdfe ssc install ppmlhdfe clear all ftools, compile reghdfe, compile * Test program sysuse auto, clear reghdfe price weight, a(turn) ppmlhdfe price weight, a(turn)
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