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. Since the code is built around the reghdfe package  it has similar syntax and supports many of the same functionalities. ppmlhdfe also implements a novel and more robust approach to check for the existence of (pseudo) maximum likelihood estimates.
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 algorithm that allows for fast estimation in the presence of HDFE. Because the code is built around the reghdfe package , it has similar syntax and supports many of the same functionalities. ppmlhdfe also implements a novel and more robust approach to check for the existence of (pseudo) maximum likelihood estimates.
R
Iteratively Reweighted Least Squares (IRLS)
iteratively reweighted least-squares
R
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