CRAN/E | penppml

penppml

Penalized Poisson Pseudo Maximum Likelihood Regression

Installation

About

A set of tools that enables efficient estimation of penalized Poisson Pseudo Maximum Likelihood regressions, using lasso or ridge penalties, for models that feature one or more sets of high-dimensional fixed effects. The methodology is based on Breinlich, Corradi, Rocha, Ruta, Santos Silva, and Zylkin (2021) and takes advantage of the method of alternating projections of Gaure (2013) doi:10.1016/j.csda.2013.03.024 for dealing with HDFE, as well as the coordinate descent algorithm of Friedman, Hastie and Tibshirani (2010) doi:10.18637/jss.v033.i01 for fitting lasso regressions. The package is also able to carry out cross-validation and to implement the plugin lasso of Belloni, Chernozhukov, Hansen and Kozbur (2016) doi:10.1080/07350015.2015.1102733.

github.com/tomzylkin/penppml
Bug report File report

Key Metrics

Version 0.2.3
R ≥ 2.10
Published 2023-09-08 395 days ago
Needs compilation? yes
License MIT
License File
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Maintainer

Maintainer

Joao Cruz

Authors

Diego Ferreras Garrucho

aut

Tom Zylkin

aut

Joao Cruz

cre

Nicolas Apfel

ctb

Material

README
NEWS
Reference manual
Package source

In Views

Econometrics

Vignettes

Penalized PPML Regression with penppml

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

penppml archive

Depends

R ≥ 2.10

Imports

Rcpp
glmnet
fixest
collapse
rlang
magrittr
matrixStats
dplyr
devtools

Suggests

testthat ≥ 3.0.0
MASS
knitr
rmarkdown
ggplot2
reshape2

LinkingTo

Rcpp
RcppEigen