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st: fixed effects + clustering


From   Edwin Leuven <e.leuven@uva.nl>
To   statalist@hsphsun2.harvard.edu
Subject   st: fixed effects + clustering
Date   Tue, 30 Mar 2004 15:51:36 +0200 (CEST)

i want to estimate the following equation

y_{ist} = x_{ist}'b + n_{s} + m_{st} + e_{ist} 

with

n_{s}  fixed effects
m_{st}  random effects (clusters)
e_{ist}  iid noise

does anyone know how to conveniently estimate this in stata?

xtreg , fe cluster()

would work, but xtreg does not have a cluster option and there are too 
many n_{s}'s to enter them as dummies in a regular regression like 
this

xi: reg y x i.ns, cluster(mst) 

thanks, edwin
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