PPML with high-dimensional fixed effects? #143

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1. jmboehm commented on Feb 4, 2021

   

   jmboehm

   on Feb 4, 2021

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   Hi Gabriel,

   You're right, calculating the PPML and friends in the end boils down to a series of pseudo de-meaning operations followed by OLS, which is what FixedEffects.jl is doing. I've implemented a version of this in GLFixedEffectModels.jl, maybe this is of use to you. I should add that bias correction for the incidental parameter problem (which is a nice way to kill off annoying seminar questions) is not yet implemented, and that I also haven't done a lot of testing.

   I think in the end it may make sense to put this into FixedEffectModels.jl, depending on how Matthieu and Erik feel about this.

   👍React with 👍2Reacted by Erik Loualiche and Daniel

   🎉React with 🎉2Reacted by Gabriel E Kreindler and azev77
2. Gkreindler commented on Feb 23, 2023

   

   Gkreindler

   on Feb 23, 2023

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   A quick update (I cannot believe that >2 years have passed!!) that I have been using a lot of the following, and it's been incredibly useful:

   using GLFixedEffectModels
   myformula = term(:myy) ~ term(:myx) + GLFixedEffectsModels.fe(:myfe1) + GLFixedEffectsModels.fe(:myfe2)
   nlreg(df, myformula, Poisson(), LogLink(), GLFixedEffectsModels.Vcov.cluster(:a, :b))
   

   👍React with 👍1Reacted by Johannes Boehm
3. jmboehm commented on Feb 24, 2023

   

   jmboehm

   on Feb 24, 2023

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   Glad to hear it's been useful!
4. matthieugomez

   added

   enhancement

   on Apr 9, 2024
5. matthieugomez commented on Mar 31, 2026

   

   matthieugomez

   on Mar 31, 2026

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   I believe it's closed by @jmboehm package
6. matthieugomez

   closed this as completedon Mar 31, 2026