Model Selection Between TWFE and ETWFE
Overview
Estimates both a vanilla two-way fixed effects (TWFE) model and an extended TWFE (ETWFE) model, then selects between them using Cochran's Q test for heterogeneity. When ETWFE wins, reports the heterogeneity fraction (I-squared) and cohort-time estimates with empirical Bayes shrinkage and Bonferroni multiplicity correction. Methods build on Wooldridge (2025) doi:10.1007/s00181-025-02807-z and Callaway and Sant'Anna (2021) doi:10.1016/j.jeconom.2020.12.001.
Install
Health
- OK13 OK2026-08-04
- NOTE12 OK, 1 NOTE2026-08-01
- OK6 OK2026-06-03
Documentation
- Help pages
- 6
- Examples that run
- no examples
- Exported functions with examples
- 0%
- Documented parameters
- 100%
- Return-value docs
- 100%
- Help pages citing references
- 0%
Downloads
Dependencies
Installing selectTWFE adds 33 packages (14 with compiled code, 36 MB of source tarballs). Heaviest: ggplot2 6.0 MB, data.table 5.7 MB, fixest 4.8 MB.
Code & Tests
Datasets
People & History
- 0.2.1Latest2026-06-02 · current release
- RR 4.6.0 released · 2026-04-24
Package metadata
- First published
- 2026-06-02
- Total releases
- 1 / 1 yrs
- License
- MIT + file LICENSE OSI
- Minimum R
- ≥ 3.5.0
- Bundled data
- 28 KB / 1 file
- Download size
- 82 KB
Cite
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Run in R for the authors' preferred citation:
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