Open jorpppp opened 1 year ago
I am tagging my coauthor @reginalpzley here since she noticed this issue. She may be able to help us add this enhancement in the future.
@jmshapir Hi I might be able to start working on this this week. Please assign me and allow me to open an issue branch.
@zhizhongpu thanks! Permissions elevated. Please use it wisely.
@santiagohermo if you think you may have some time to pitch in here (or even just to help @zhizhongpu get familiar with the package), please reach out to me via e-mail and I will put you in touch.
Thanks @jmshapir!
Absolutely, happy to discuss the package and the fixest
implementation with @zhizhongpu. I'll get in touch via email.
per meeting w/ @santiagohermo
Given that fixest
is quite different from the current kernel i.e. estimatr
, the next step is to add an argument to EventStudy()
, default being TRUE
, where the user can specify whether to use the default kernel fixest
(or instead use estimatr
). This means we'll keep the current code as legacy/superseded to be deprecated. The alternative is to remove the estimatr
-based code in this issue.
We also discussed another issue. Since @santiagohermo prefers that we make different modifications in separate issues, I've opened #51. I'll start working on #51 first as it's smaller and can get me more familiar with the package.
fyi @jmshapir please flag if this plan does not sound good to you.
Thanks @zhizhongpu! A pleasure to meet you, and happy to talk again in the future if helpful :)
I'm thinking that it might be wise to keep both options for a couple of reasons:
estimatr
returns an lm
object which is likely to have longer support in Restimatr
allows to replicate STATA's standard errorsWe probably don't need to decide right now. We can always just add the fixest
implementation and decide whether to deprecate (or not) the estimatr
one later.
For some of our work we would like to estimate models with large numbers of fixed effects. Currently
eventstudyr
usesplm
under the hood, but it would be useful to be able to usefixest
too.