PPMLHDFE: Poisson pseudo-likelihood regression with multiple levels of fixed effects (with Paulo Guimarães and Tom Zylkin)
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).
Estimate linear regressions with multiple levels of fixed effects (Stata).
It is fast, robust, and its features include GMM/IV, multi-way clustering, handling of singleton and nested groups, and more.
Stata commands and Mata functions to speed up working with large datasets.
Several miscellaneous Stata utilities are located here.