In this article, I derive a score test for the equality of one or more parameters across groups of observations following estimation of a single-index model. The test has a wide array of applications and nests Pearson’s chi-squared test as a particular case. The postestimation command scoregrp...

There is a known connection between the multinomial and the Poisson likelihoods. This, in turn, means that a Poisson regression may be transformed into a logit model and vice versa. In this paper, I show the data transformations required to implement this transformation. Several examples are...

In this article, we describe an iterative approach for the estimation of linear regression models with high-dimensional fixed effects. This approach is computationally intensive but imposes minimum memory requirements. We also show that the approach can be extended to nonlinear models and to...