  In this paper we present ppmlhdfe, a new Stata command for estimation of
(pseudo) Poisson regression models with multiple high-dimensional fixed effects
(HDFE). Estimation is implemented using a modified version of the iteratively
reweighted least-squares (IRLS) algorithm that allows for fast estimation in
the presence of HDFE. Because the code is built around the reghdfe package, it
has similar syntax, supports many of the same functionalities, and benefits
from reghdfe's fast convergence properties for computing high-dimensional least
squares problems.
  Performance is further enhanced by some new techniques we introduce for
accelerating HDFE-IRLS estimation specifically. ppmlhdfe also implements a
novel and more robust approach to check for the existence of (pseudo) maximum
likelihood estimates.
