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Re: st: Cross-section regression with fixed effects


From   Roberto Liebscher <[email protected]>
To   [email protected]
Subject   Re: st: Cross-section regression with fixed effects
Date   Mon, 09 Sep 2013 16:52:08 +0200

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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