Re: st: Cross-section regression with fixed effects

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

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 <roberto.liebscher@ku.de>:
> 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:   roberto.liebscher@ku-eichstaett.de
> 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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