Dear Statalisters,
I face the following issue:
I have a cross-sectional dataset where the observation unit is a pair of firms and look at the probability of a pair been "connected" (i.e. connected is the dependent variable and is binary). So, for each firm (firm A) I have several pairs with other firms (firm B) and firm B's are not the same for every firm A.
For each firm I have the industry code. I am thinking that for my analysis is relevant to control for unobserved correlation within industries and account for the non iid errors of pairs that refer to the same firm A.
So, I thought that industry fixed effects and clustered SEs at firm-level would be the appropriate specification. I tried this with xtreg (setting industry as panelvar) and returned the error "panels are not nested within clusters" obviously. I tried also with reghdfe command (absorb(firm industry)) which worked but given that I consider to perform logit regressions I intended to go with xtlogit.
And the questions are:
- Has anyone any comment on what the appropriate specification would be in such a setting? (clustering, FEs, or both and at what level(s)?)
- Is there a way for reghdfe with logit regression or any alternative to this?
Thanks in advance.
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