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 + file LICENSE URL: https://github.com/tomzylkin/penppml NeedsCompilation: yes Materials: README NEWS In views: Econometrics CRAN checks: penppml results Documentation: Downloads: Linking:Please use the canonical form https://CRAN.R-project.org/package=penppml to link to this page.
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