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 (developed by Paul Courcera) 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
leave_out_KSS
.The replication package of the Econometrica article can be found here.