Dear all,

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.
The Github repo as well as the website have a lot of information on the package, including two papers (one explaining the command in the style of SJ article, another explaining how we solved the statistical separation issue), several guides and benchmarks, an online help file, etc. To install and verify that it works correctly, you can copy-paste this snippet:

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)
As usual, let us known if you have any comments or suggestions, and feel free to post any issues on the issues page.