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st: From: Mooncake Makiroll <mooncake.makiroll@gmail.com>


From   owner-statalist@hsphsun2.harvard.edu
To   statalist@hsphsun2.harvard.edu
Subject   st: From: Mooncake Makiroll <mooncake.makiroll@gmail.com>
Date   Fri, 23 Dec 2011 20:34:19 -0600

I have two equations with the same independent variables but different
dependent variables. I am using SUR to estimate them. Both equations
contain firm fixed effects and year fixed effects, and I need the
standard errors to be clustered by BOTH firm and year. I am aware
SUREG or SUEST can give me estimation with two seemingly unrelated
equations.But I wonder what will be the code to estimate each equation
with firm fixed effect (I have several thousand of firms) and cluster
BOTH firm and year.
Thanks,
MM
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