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TWFEM: Stata module to efficiently estimate a two-way fixed effects model based on Somaini and Wolak (2015)

Author

Listed:
  • Paulo Somaini

    (Stanford University)

  • Frank A. Wolak

    (Stanford University)

Programming Language

Stata

Abstract

twfem is an algorithm to estimate the two-way fixed effect linear model. The algorithm relies on the Frisch-Waugh-Lovell theorem and applies to ordinary least squares (OLS), two-stage least squares (TSLS) and GMM estimators.

Suggested Citation

  • Paulo Somaini & Frank A. Wolak, 2021. "TWFEM: Stata module to efficiently estimate a two-way fixed effects model based on Somaini and Wolak (2015)," Statistical Software Components S458909, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:s458909
    Note: This module should be installed from within Stata by typing "ssc install twfem". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/t/twfem.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/t/twfem.sthlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/t/twest.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/t/twest.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/t/twload.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/t/twload.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/t/twres.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/t/twres.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/t/twsave.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/t/twsave.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/t/twset.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/t/twset.sthlp
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