Variance Reduction #1175
Description
Adjust simulations by comment by @apoorvalal :
btw one way to distinguish from CUPED might be to allow for (1) heterogeneity in the autoregressive parameter in the DGP, which I remember messing with when I originally wrote this DGP to test things out and (2) bigger variance in time FEs, which CUPED averages over but 2WFE captures correctly.
See here: #1018
(Decided to merge the PR as it had been floating around for forever).
Maybe an interesting starting point for you @felixschmitz?