This Matlab package implements the leave out correction of Kline, Saggio and Soelvsten (2020) for estimating variance components in two-way fixed effects models. It can also report asymptotically valid standard errors on coefficients obtained from a second stage regression of estimated fixed effects on observables.
See this vignette for a description of the package.
The Julia version of the package can be found here. On the same page, one can find an executable that permits estimation of the leave-out correction even if the user does not have MATLAB or JULIA.
These are the most significant changes introduced with this new version
- New documentation that describes in detail the functioning of
leave_out_KSS. - By default, the code runs a leave-out correction by leaving a match out as opposed to leaving an observation out. See vignette for details.
- New, optimized, random projection algorithm for calculation of the statistical leverages which scale extremely well to large datasets.
- Code no longer requires MATLAB BGL but runs automatically on MATLAB built-in network functions.
- Requires MATLAB R2015b or higher.
The replication package of the Econometrica article can be found here.