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st: Cluster standard errors by time and firm

From   sebas nicaise <>
To   <>
Subject   st: Cluster standard errors by time and firm
Date   Mon, 11 Jun 2012 12:48:32 +0000

Dear all,
I have an unbalanced panel data set and I want to perform several regressions.
The problem is that I have overlapping observations in my dependent variable meaning that I have mechanical serial correlation in that variable.
Therefore, I want to cluster my standard errors by firm and time ( quarter).
I have only been able to cluster my variable by firm.
Is this possible in stata, and how would I do this?
Thank you,
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