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Re: st: Cross-section regression with fixed effects


From   Stuart Buck <[email protected]>
To   [email protected]
Subject   Re: st: Cross-section regression with fixed effects
Date   Mon, 9 Sep 2013 22:11:33 -0500

If you want to use dummy variables for the banks (i.deudor), that is the
exact same thing as fixed effects, so I don't think you need to do anything
else to create fixed effects.

In other words, I think your code should possibly be

xi: reg depvar indepvars i.deudor, vce(cluster deudor)

On 9/9/13, Stuart Buck <[email protected]> wrote:
> If you want to use dummy variables for the banks (i.deudor), that is the
> exact same thing as fixed effects, so I don't think you need to do anything
> else to create fixed effects.
>
> In other words, I think your code should possibly be
>
> xi: reg depvar indepvars i.deudor, vce(cluster deudor)
>
>
> On Mon, Sep 9, 2013 at 9:55 PM, Stuart Buck <[email protected]> wrote:
>>
>> If you want to use dummy variables for the banks (i.deudor), that is the
>> exact same thing as fixed effects, so I don't think you need to do
> anything
>> else to create fixed effects.
>>
>> In other words, I think your code should possibly be
>>
>> xi: reg depvar indepvars i.deudor, vce(cluster deudor)
>>
>>
>> On Mon, Sep 9, 2013 at 11:39 AM, Cecilia Dassatti <
> [email protected]> wrote:
>>>
>>> i want to include firm fixed effects, and i that that the syntax would
>>> be
>>> xtreg depvar indepvars, i(deudor) fe vce(cluster bank)
>>>
>>> where deudor==firm
>>>
>>> 2013/9/9 Roberto Liebscher <[email protected]>:
>>> > I guess Stata takes fixed effects for your panel variable when you use
> the
>>> > xtreg command with the fe option. In your case Stata takes fixed
> effects for
>>> > all bank firm combinations. Nevertheless you should be able to include
> bank
>>> > fixed effects.
>>> >
>>> > xtreg depvar indepvar i.bank, fe vce(cluster bank))
>>> >
>>> > I do not know what the option i(deudor) is for? Maybe this is the
> reason why
>>> > your command is not working.
>>> >
>>> > HTH,
>>> > Roberto
>>> >
>>> > --
>>> > Roberto Liebscher
>>> > Catholic University of Eichstaett-Ingolstadt
>>> > Department of Business Administration
>>> > Chair of Banking and Finance
>>> > Auf der Schanz 49
>>> > D-85049 Ingolstadt
>>> > Germany
>>> > Phone:  (+49)-841-937-1929
>>> > FAX:    (+49)-841-937-2883
>>> > E-mail:   [email protected]
>>> > Internet: http://www.ku.de/wwf/lfb/
>>> >
>>> >
>>> >
>>> > Am 08.09.2013 21:24, schrieb Cecilia Dassatti:
>>> >
>>> >> Hi everybody,
>>> >>
>>> >> I am working with a panel dataset in which the id is given by pairs
>>> >> of
>>> >> bank-firm relationships and the time variable are months.
>>> >>
>>> >> My LHS variable is the change in the log of strictly positive loans
>>> >> given by one bank to a firm in t+1, while my RHS variable of interest
>>> >> is the liquidity of the bank in t-1 (there's a change of policy in
>>> >> t).
>>> >> I want to include firm fixed effects. I tried first with xtreg, but
>>> >> since my panel id are bank-firm pairs, I can't find the way for
>>> >>
>>> >> xtreg depvar indepvars, i(deudor) fe vce(cluster bank)
>>> >>
>>> >> to work.
>>> >>
>>> >> I thought about trying with areg o manually demeaning all my
>>> >> variables
>>> >> at the firm level, but then I saw that i need to do a degrees of
>>> >> freedom adjustment since I am using clusters for the standar errors.
>>> >> I
>>> >> can do these other options, but i wanted to know if I am doing
>>> >> something wrong with xtreg.
>>> >>
>>> >> Thanks!
>>> >>
>>> >> Cecilia
>>> >> *
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>>
>>
>>
>>
>> --
>> Stuart Buck
>> http://about.me/stuartbuck
>> 479-200-2750 (cell)
>>
>
>
>
> --
> Stuart Buck
> http://about.me/stuartbuck
> 479-200-2750 (cell)
>


-- 
Stuart Buck
http://about.me/stuartbuck
479-200-2750 (cell)
*
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