Dear all,
I would like to find the effect of bank liquidity risk (my independent variable) on loan pricing (y). Professor suggested me to use firm(borrower) x year fixed effect to fix the effect of borrower for demand side and cluster SE with firmxyear. I am not sure whether what I did is correct or not.
egen B_year = group(BID year) (where BID is borrowerID)
then, " areg logy liqtoA2 logA logAmount logMat, absorb(B_year) vce(cluster B_year)"
I also ran xtreg using
xtset B_year
xtreg logy liqtoA2 logA logAmount logMat,fe vce(cluster B_year)
For both commands, I got the same coefficient estimates, but slightly different Standard errors. Do both commands can be used interchangeably?
Additionally, If I use firm fixed effect and year fixed effect separately, Does it mean the same? (because the coefficient I got was different)
For example, I use
xtset BID (where BID is borrowerID)
xtreg logy liqtoA2 logA logAmount logMat i.year, fe vce(cluster B_year) / or vce(cluster BID)
Please advise and Thank you in advance.
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