penppml

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) http://hdl.handle.net/10986/35451 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.

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