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Re: st: RE: 'nonest' option in 'xtreg'

From   Nick Cox <>
To   "" <>
Subject   Re: st: RE: 'nonest' option in 'xtreg'
Date   Fri, 8 Jul 2011 14:46:00 +0100

Good find. Where is it documented?


On 8 Jul 2011, at 13:26, Austin Nichols <> wrote:


From -help whatsnew9-:
--update 15sep2005--
(30)B.  xtreg, fe and xtreg, re produced cluster-robust VCEs when the
panels were not nested within the clusters.  In some cases this VCE is
consistent, and in others it is not.  You must now specify the new
nonest option to get a cluster-robust VCE when the panels are not
nested within the clusters.

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 <> 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.


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
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