Implemented is an algorithm to estimate the two-way fixed effect linear model.
The coefficients of interest are computed using the residuals from the
projection of all variables on the two sets of fixed effects. Our algorithm
has three desirable features. First, it manages memory and computational
resources efficiently which speeds up the computation of the estimates.
Second, it allows the researcher to estimate multiple specifications
using the same set of fixed effects at a very low computational cost.
Third, the asymptotic variance of the parameters of interest can be
consistently estimated using standard routines on the residualized data.
Somaini P., Wolak F. A. (2016)