lp_irf.m: Matlab file for estimating impulse response functions by local projections (for both linear and non-linear specifications) based on the RATS script that used to be available on Oscar Jorda's local projections page. Used in the Hwa, Kapinos, Ramirez (JFS 2018) paper.
Multi-way fixed effects and clustered standard errors:
Note describing the key concepts and the estimation routines with examples
pfixed_MWCSE.m: computationally efficient way to calculate multi-way fixed effects and clustered standard errors. Other approaches in Matlab: Spatial Econometrics, Panel Data Toolbox
replication.m: File that replicates the testing data set results of Mitchell Petersen
comparison.m: File containing the comparison between the above routine and for-loop based alternatives in one-way fixed effects; also evaluates the memory demands of the method of alternating projections for multi-way fixed effects. Uses Petersen's sample as the basis for the data generating process.
sim.m: Simulation file for illustrating some of the capabilities of the estimation routine.