Is there a clustering option available in a two-way fixed effect proc panel procedure?
I realize that there is the "cluster" option. However, one can not specify the clusters. As far as I understand, SAS simply clusters around the ID variables. In my case, I have two ID variables (two fixed effects). But I would like to cluster around only one of them. Is this possible?
Example:
proc panel data = input;
id firm time;
model y = x1 x2 x3 /twoway hcce=1 cluster;
quit;
How can I specify the cluster option?