penppml: Penalized Poisson Pseudo Maximum Likelihood Regression
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>.
| Version: | 0.2.4 |
| Depends: | R (≥ 2.10) |
| Imports: | Rcpp,glmnet,fixest,collapse,rlang,magrittr,matrixStats,dplyr,devtools |
| LinkingTo: | Rcpp,RcppEigen |
| Suggests: | testthat (≥ 3.0.0),MASS,knitr,rmarkdown,ggplot2,reshape2 |
| Published: | 2025-02-08 |
| DOI: | 10.32614/CRAN.package.penppml |
| Author: | Diego Ferreras Garrucho [aut], Tom Zylkin [aut], Joao Cruz [cre, ctb], Nicolas Apfel [ctb] |
| Maintainer: | Joao Cruz <joaocruz at iseg.ulisboa.pt> |
| BugReports: | https://github.com/tomzylkin/penppml/issues |
| License: | MIT + fileLICENSE |
| URL: | https://github.com/tomzylkin/penppml |
| NeedsCompilation: | yes |
| Materials: | README,NEWS |
| In views: | Econometrics |
| CRAN checks: | penppml results |
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