st: Cross-section regression with fixed effects

[Cecilia Dassatti <cecilia.dassatti@gmail.com>]

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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