NEWS.md

In etwfe: Extended Two-Way Fixed Effects

etwfe 0.5.0

New features

• New emfx arguments:
• emfx(..., predict = c("response", "link")), where the latter allows for obtaining the linear prediction for non-linear models. Internally passed as marginaleffects::slopes(..., type = predict), thus avoiding a clash with the topline emfx(..., type = <aggregration_type>) argument. (#49)
• emfx(..., lean = <logical>). Default value is FALSE, but switching to TRUE will ensure a light return object that strips away data-heavy attributes (e.g., copies of the original model). These attributes are unlikely to be needed as part of the emfx() workflow, so we may change the default to lean = TRUE in a future version of etwfe. (#51, #58)
• Native plot.emfx() method (via a tinyplot backend) for visualizing emfx objects. (#54)

Superseded arguments

• The collapse argument in emfx() is superseded by compress. The older argument is retained as an alias for backwards compatibility, but will now trigger a message, nudging users to switch to compress instead. The end result will be identical, though. This cosmetic change was motivated by a desire to be more consistent with the phrasing used in the literature (i.e., on performance-boosting within group compression and weighting). See Wong et al. (2021), for example. (#57)

Documentation

• Various documentation improvements, including the addition of a "never" treated control group example in the vignette and fixing some confusing typos (e.g., refering to wrong default arguments).

etwfe 0.4.0

Bug fixes

• Fix ATT calculation for the never-treated case (i..e, cgroup = "never) due to incorrect subsetting prior to recovering the marginal effects. Thanks to @paulofelipe for reporting (#37).
• Avoid (where possible) or error out if user supplies reserved "group" variable in formula (#41).

Documentation

• Fix missing autolinks in documentation due to markdown formatting (#44 @etiennebacher).

etwfe 0.3.5

Internal

• Update tests to match upstream changes to fixest.
• Update maintainer email address.

etwfe 0.3.4

Internal

• Update tests to match upstream changes to marginaleffects (#36 @vincentarelbundock).

etwfe 0.3.3

Internal

• Rejigged some internal tests following upstream changes to marginaleffects (#35 @vincentarelbundock).

etwfe 0.3.2

Bug fixes

• Fixed internal centering procedure and handling of multiple covariate levels (#30, #31). These fixes should have no impact on the main ATT estimates (i.e., typical use of the package). But it may lead to differences in the heterogeneous ATTs---i.e., via the xvar arg---which were incorrectly estimated in some cases. Thanks to @PhilipCarthy for flagging and to @frederickluser for helpful discussions

• Fixed internal and upstream bug which was causing model offsets to error (#28, thanks @mariofiorini for the initial report and several others for helpful discussion). Note that this fix requires insight >= 0.19.1.8, which is the development version at the time of writing. More information available here: https://github.com/easystats/insight/pull/759

etwfe 0.3.1

Internal

• Minor updates to internal code and some unit tests to match forthcoming updates to marginaleffects 0.10.0. The latter update also brings some notable performance improvements to emfx().

Other

• Some documentation improvements.
• The Examples have been wrapped in \dontrun to avoid triggering CRAN NOTEs on Windows for exceeding 5 seconds execution time. Note that the package homepage still runs these Examples if users want to inspect the output online.

etwfe 0.3.0

New features and enhancements

• Support for estimating heterogeneous treatment effects via the new etwfe(..., xvar = <xvar> argument (#16, thanks to @frederickluser). Automatically extends to emfx() via the latter's by_xvar argument (#21). More details are provided in the dedicated "Heterogeneous treatment effects" section of the vignette and help documentation

• The new emfx(..., collapse = TRUE) argument can substantially reduce estimation times for large datasets (#19, thanks @frederickluser). This performance boost does trade off against a loss in estimate accuracy. But testing suggests that the difference is relatively minor for typical use cases (i.e., results are equivalent up to the 1st or 2nd significant decimal place, and sometimes even better). Please let us know if you find edge cases where this is not true. More details are available in the dedicated "Performance tips" section of the vignette and help documentation, including advice for combining collapsing with emfx(..., vcov = FALSE) (which yields an even more dramatic speed boost but at a cost of not reporting any standard errors).

• Users can now use a 1 on the fml RHS to indicate that there are no control variables as part of the etwfe call, e.g. etwfe(y ~ 1, ...). This provides a second way of indicating no controls, alongside the existing 0 option, e.g. etwfe(y ~ 0, ...)

Bug fixes

• Internal code and tests have been updated to account for some upstream breaking changes in marginaleffects 0.9.0 (#20, thanks @vincentarelbundock). From the user side, the most notable changes are that we no longer have to call summary() on emfx objects for pretty printing, and that the (former) "dydx" column of the resulting object is now named "estimate". These changes are reflected in the updated documentation.

Other

• Various documentation improvements. For example, the aforementioned sections on Heterogeneous TEs and Performance tips. I have also removed some warnings about the use of time-varying controls (#17). In truth, I can't quite recall why I included these warnings in the first place and testing confirms that it does not appear to pose a problem for the ETWFE framework. Thanks to Felix Pretis for prompting me to revisit this implicit restriction, including forwarding some relevant correspondence with Prof. Wooldridge.

• data.table is added to Imports and thus becomes a direct dependency. It was already an indirect dependency through marginaleffects.

• It's now possible to install the development version of the package from R-universe. Details are provided in the README.

etwfe 0.2.0

Bug fixes and breaking changes

• The .Dtreat indicator variable created during the etwfe call is now logical instead of integer (#14). This fix yields slightly different effect sizes for emfx output when applied to non-linear model families (e.g., etwfe(..., family = "poisson"). The reason is that we are now implicitly calling marginaleffects::comparisons under the hood rather than marginaleffects::marginaleffects. Note that the main etwfe coefficients (for any family) are unaffected, and the same is also true for emfx when applied to a linear model (i.e., the default).

• The (optional) ivar argument of etwfe() has been moved down the argument order list from second position to fifth (i.e., after the data argument). This means that the four required arguments of function now occupy the top positions, which could enable shorter, unnamed notation like etwfe(y ~ x, year, cohort, dat).

New features and enhancements

• emfx now allows (time-invariant) interacted control variables on the fml RHS.

• emfx now has a post_only logical argument, which may be useful for plotting aesthetics (but not inference). See the example in the introductory vignette.

• Various improvements to the documentation (restructuring, fixed typos, etc.)

etwfe 0.1.0

• Initial release.

etwfe documentation built on April 3, 2025, 11:29 p.m.