Regarding the usefulness of two-way fixed effect (TWFE), Guido Imbens mentioned that TWFE can be good starting point for DiD if the N and T are modest, I am wondering is there any criteria for "modest", how much is modest here?

From this Chaisemartin, 2020, slide 2

However, TWFE can be an attractive model for baseline (control) outcomes when N & T are modest" but not exible for large dimensions.

  • Guido Imbens (Sargan Lecture, RES 2021).

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