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Without a detailed description of the data and the assumed correct dgp
from the original poster, it will be hard for anyone to comment
usefully  on the estimation problem.

It strikes me as strange to model RE in one dimension and clustering
of errors in another; two-dimensional clustering or a multilevel model
seems a more natural starting point.

On Fri, Jul 8, 2011 at 8:02 AM, Nick Cox <n.j.cox@durham.ac.uk> wrote:
> I've just searched the .pdf of the entire [XT] manual and found no reference to "nonest".
>
> So, you know more than is in the manual.
>
> I think you got no answer partly because you are not telling us, exactly and precisely,
>
> 1. What you have typed into Stata.
>
> 2. What "limited" information means.
>
> 3. Where you found about this on Statalist.
>
> Nick
> n.j.cox@durham.ac.uk
>
> Sejeong Ha
>
> I have not received any comment on my recent post. So, I am trying once more. I hope any of you can help. Thank you.
>
> My panel is an individual person and I am trying to cluster individuals by their household. A simple specification would look like
>
> xtset  individual year, yearly
> xtreg  x y, cluster(household)
>
> However, I have an error message of "panels are not nested within clusters". With some examination through Statalist, I realised that my panels (individuals) are not in the same cluster (household) all the time (because individuals move in and out of households over time). Then, I've found that 'nonest' option somehow helps not receiving the same error. Though I wanted to find out more about this option, the information online seems limited. So, I'd like to ask you (1) what 'nonest' option does and (2) whether it is a right cure in my case.

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