xtreg2way: Feasible Estimation of the Two-Way Fixed Effect Model

Implemented is an algorithm to estimate the two-way fixed effect linear model. The coefficients of interest are computed using the residuals from the projection of all variables on the two sets of fixed effects. Our algorithm has three desirable features. First, it manages memory and computational resources efficiently which speeds up the computation of the estimates. Second, it allows the researcher to estimate multiple specifications using the same set of fixed effects at a very low computational cost. Third, the asymptotic variance of the parameters of interest can be consistently estimated using standard routines on the residualized data. Somaini P., Wolak F. A. (2016) <doi:10.1515/jem-2014-0008> Arellano, M. (1987) <https://ideas.repec.org/a/bla/obuest/v49y1987i4p431-34.html>.

Version: 1.0.0
Imports: pracma, Matrix, stats, MASS
Suggests: knitr, rmarkdown, testthat
Published: 2020-08-11
Author: Paulo Somaini [aut, cre, cph], Frank Wolak [aut], Brian Chivers [aut]
Maintainer: Paulo Somaini <soma at stanford.edu>
License: MIT + file LICENSE
URL: https://github.com/paulosomaini/xtreg2way
NeedsCompilation: no
Materials: README NEWS
CRAN checks: xtreg2way results

Documentation:

Reference manual: xtreg2way.pdf
Vignettes: Two-Way-Fixed-Effect-Model

Downloads:

Package source: xtreg2way_1.0.0.tar.gz
Windows binaries: r-devel: xtreg2way_1.0.0.zip, r-release: xtreg2way_1.0.0.zip, r-oldrel: xtreg2way_1.0.0.zip
macOS binaries: r-release (arm64): xtreg2way_1.0.0.tgz, r-release (x86_64): xtreg2way_1.0.0.tgz, r-oldrel: xtreg2way_1.0.0.tgz

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