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st: non-nested cluster


From   "Cristina Cattaneo" <crcattaneo@liuc.it>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: non-nested cluster
Date   Wed, 4 Jul 2012 17:38:41 +0200

Dear Statalisters

I am conducting an analysis with micro-level data on individual occupations in different European countries in eight waves. 
I estimate panel fixed effects, where individuals represent my fixed effects. Given that one explanatory variable is fixed within the country-wave-occupation dimensions, I compute a cluster that combines these three dimensions. These clusters are not nested within the panel dimension, though, as one individual may move from one occupation to another. 
The xtreg command allows me to overcome this problem, through the nonest option. However, given that I employ a 2SLS estimation, I cannot find a similar option for estimation and Stata returns an error message. Does anybody have a suggestion to perform 2SLS estimation with this type of (non-nested)clusters?

Many Thanks

Regards
Cristina

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