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From | Stuart Buck <stuartbuck@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
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 <stuartbuck@gmail.com> 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 <stuartbuck@gmail.com> 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 < > cecilia.dassatti@gmail.com> 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 <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 >>> >> * >>> >> * For searches and help try: >>> >> * http://www.stata.com/help.cgi?search >>> >> * http://www.stata.com/support/faqs/resources/statalist-faq/ >>> >> * http://www.ats.ucla.edu/stat/stata/ >>> > >>> > >>> > >>> > * >>> > * For searches and help try: >>> > * http://www.stata.com/help.cgi?search >>> > * http://www.stata.com/support/faqs/resources/statalist-faq/ >>> > * http://www.ats.ucla.edu/stat/stata/ >>> * >>> * For searches and help try: >>> * http://www.stata.com/help.cgi?search >>> * http://www.stata.com/support/faqs/resources/statalist-faq/ >>> * http://www.ats.ucla.edu/stat/stata/ >> >> >> >> >> -- >> 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) * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/