Software
R Package
LeaveOutKSS
LeaveOutKSS is an R implementation of the leave-out correction for variance-component estimation in two-way fixed-effects (AKM) models, following Kline, Saggio, and Sølvsten, Leave-out Estimation of Variance Components (Econometrica, 2020).
The package is based on the authors’ original MATLAB package and mirrors its core functionality and workflow in R.