penppml

Penalized Poisson Pseudo Maximum Likelihood Regression

CRAN Package

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.


Documentation


Team


Insights

Last 30 days

Last 365 days

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

Data provided by CRAN


Binaries


Dependencies

  • Imports9 packages
  • Suggests6 packages
  • Linking To2 packages