Note: This FAQ is releveant for Stata 8 users.
Is it possible to analyze survey data with two or more levels of clustering
with the svy commands?
Multiple clustering levels
Bill Sribney, StataCorp
commands actually allow multiple levels of clustering, but you only need to
specify the first level.
This is because the variance estimator used by the svy commands
allows any amount of correlation or clustering within the primary sampling
units. See [U] 30.2.1 Multistage sample designs.
This method (to only account explicitly for the primary sampling units) is a
standard one in survey statistics.
There are other variance estimation methods that explicitly account for
secondary sampling. However, these methods require more assumptions than
the svy estimator. If these assumptions are correct, then these
other methods may yield more efficient variance estimates. However, the
svy estimator is more robust than these methods.
Thus, most survey statisticians use the svy variance estimator or
other methods, such as a jackknife, that only account explicitly for the
primary sampling units.