selectTWFE
Model Selection Between TWFE and ETWFE
v0.2.1
·
Jun 2, 2026
·
MIT + file LICENSE
Description
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>.
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OK 6 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Jun 3, 2026
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0.2.1
Jun 2, 2026