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st: Fixed effects model with two-way clustering


From   Alejandro Donado <[email protected]>
To   [email protected]
Subject   st: Fixed effects model with two-way clustering
Date   Fri, 18 May 2012 11:23:12 +0200

Dear Statalisters:



I am using the xtivreg2 command to try to estimate a fixed effects
model with two-way clustering. The regression is:



xtivreg2 y x1 x2 x3 ,fe cluster(individualid  industryid)



But unfortunately Stata11 is not able to estimate the model and gives
the following message:



cluster():  too many variables specified

r(103);



Do you have any idea what I might be doing wrong or what the problem might be?

Thank you very much in advance for your help.


Best,

Alejandro

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