Re: st: Cross-section regression with fixed effects

[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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