st: xtpqml clustering

[Mila Kashcheeva <kashcheeva.mila@gmail.com>]

Dear Statalist,

I work with a panel datatset where I regress firm-country imports on a
number of parameters. I use xtpqml function to be able to account for
zero imports, use fixed effects and cluster std. errors. I want to
cluster standard errors by country while also including year, country
and firm fixed effects. I do not understand two points. 1) why xtpqml
does not allow me to cluster by country when I include firm fixed
effects, it gives me the message, group variable i must be nested
within clusters; 2) when I cluster by country most of my country fe
are dropped, the message for the dropped fixed effects is, dropped
because it is constant within group. I wonder if it is a bug in the
program or a certain feature of xtpqml function which I do not
understand.

Thank you,
Mila
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