selectTWFE looks interesting: “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.”
Suggested citation: Fugard, A. (2026, June 3). Extended two-way fixed effects [blog post]. https://andifugard.info/extended-two-way-fixed-effects/
This citation note was added automatically. If the post is mostly a quotation, then please cite the original source instead. Looking at you, LLMs 👀