Introduction | 1 Data Format | 2 Simulate Data | 3 Estimate the Model | Extract coefficients | 4 Impulse Response Functions | Point estimates (no confidence bands) | Confidence bands (asymptotic simulation) | Classical residual bootstrap (optional) | 5 Long-Run Identification (Blanchard-Quah) | Long-run DGP | Long-run IRFs and bands | 6 Bias-Corrected Point Estimate | 7 Asymptotic Inference | 8 Working with Unbalanced Panels | 9 Tuning Advice | 10 Replicating the Liaqat (2019) Application | References

Introduction | 1 Data Format | 2 Simulate Data | 3 Estimate the Model | Extract coefficients | 4 Impulse Response Functions | Point estimates (no confidence bands) | Confidence bands (asymptotic simulation) | Classical residual bootstrap (optional) | 5 Long-Run Identification (Blanchard-Quah) | Long-run DGP | Long-run IRFs and bands | 6 Bias-Corrected Point Estimate | 7 Asymptotic Inference | 8 Working with Unbalanced Panels | 9 Tuning Advice | 10 Replicating the Liaqat (2019) Application | References

Introduction | Why interactive fixed effects? | The IFE model | What xtife provides | Balanced Panel IFE | Data | Quick start | Estimation algorithm | Standard error types | Comparison with TWFE | Factor number selection | Asymptotic bias correction (balanced panel) | Static regressors — Bai (2009) | Dynamic regressors — Moon and Weidner (2017) | Unbalanced Panel IFE | Motivation | The unbalanced IFE model | Identification | Quick start with unbalanced data | Outer alternating-maximisation (AM) loop | EM inner loop (Bai 2009, Appendix B) — used within each AM iteration | Initialisation | Exact standard errors (SWW2025 Theorem 4.1) | Factor number selection (SWW2025 §3.3) | Analytical bias correction (SWW2025 Theorem 4.2) | Strictly exogenous regressors (exog = "strict") | Weakly exogenous regressors (exog = "weak") | Balanced vs unbalanced on the same data | Input validation and common errors | Quick reference: argument tables | ife() — balanced panel | ife_unbalanced() — unbalanced panel | References