Re: st: Including fixed effects in a panel regression

[Fernando Rios Avila <f.rios.a@gmail.com>]

I believe you are looking for routines with more than 1 fixed effect
models. If that is the case, i suggest you to look through this paper:
"A Review of Stata Routines for Fixed Effects Estimation in Normal Linear Model"
Fernando

On Mon, Feb 13, 2012 at 11:13 AM, Krzysztof Gajewski <kgnbp1@gmail.com> wrote:
> Dear Statalist Users,
>
> I want to estimate a model to capture the impact of some variables on
> bank's credit supply using Stata 11. My data-set has a following panel
> structure:
> date, bank, firm, credit, set of explanatory variables (specific to the bank).
>
> In the sample, I have 24 quarters, around 150 different banks and over
> 50 thousand different firms. I use "xtset bank date" to set the panel
> and I want to run the following panel regression for bank i and firm
> j*:
>
> (dcredit)ij= Bj+B1(explanatory_variables)i+eij,
> where (dcredit)ij is change of credit granted to firm j by bank i,
> (explanatory_variables)i include set of bank's i characteristics, and
> Bj are firm's j fixed effetcs.
>
> My question is: how to include firm's fixed effect in a regression
> where my panel variable is bank (and I have over 50 thousand different
> firms)?
>
> * Similar model is used in Khwaja and Mian "Tracing the Impact of Bank
> Liquidity Shocks: Evidence from an Emerging Market", American Economic
> Review 2008, 98:4, 1413–1442,
> http://www.aeaweb.org/articles.php?doi=10.1257/aer.98.4.1413
>
> Thanks for your consideration
>
> Best regards,
>
> Christopher
>
> *
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