Re: st: Cross-section regression with fixed effects

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

Thanks, I will try the second suggestion.
Regarding your first advice, the problem is that my panel is:
id==group(firm bank)
t==months

so, when i tried xtset deudor I receive the message "repeated time
values within a panel", because one firm has a loan with more than one
bank in the same month.

I couldn't find a way to solve this, so I was trying to run a model
whith all the variables demeaned at the firm level (acknowledging that
i need to adjust the degrees of freedom for the standard errors).

Thanks,

Cecilia

2013/9/9 Austin Nichols <austinnichols@gmail.com>:
> Cecilia Dassatti <cecilia.dassatti@gmail.com>
> That should work fine, as would:
>
> xtset deudor
> xtreg depvar indepvars, fe vce(cluster bank)
>
> and the VCE will be adjusted automatically for the #clusters in bank.
>
> But you are apparently selecting on the depvar:
> "change in the log of strictly positive loans"
> which is not allowed.  You should be including zeros in loans, and
> negative values if they exist in the data.
>
> You can still work on the log scale if you change your
> assumptions--see page 3 of
> http://www.stata.com/meeting/boston10/boston10_nichols.pdf
> To get to the change in the log, you can model log(y) at t as a
> function of log(y) at t-1, i.e. put the lag on the RHS (if it has a
> coef of one, then this is the same as the regression with the
> difference in logs as the outcome). Then you are allowed to select on
> the RHS, so you can run a GLM of y on the log of the lag, dropping
> cases where the lag is zero or negative.
>
> On Mon, Sep 9, 2013 at 12:39 PM, 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
>>
>>> 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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