兄弟，这个命令你找到了吗？我现在也面临同样的问题。需要在xtreg的同时对残差在个体和年度层面进行two way cluster。如果找到了，能否告诉我一声呢？谢啦~

我也遇到了这个问题。。。。。
我用xi:cluster2 y x i.id i.year, fcluster(id) tcluster(year)
但是stata显示system refuse to provide memory. 不知道楼主解决了没有。

这个是电脑硬件内存不足的问题，i.id一口气要生产这么多个新的虚拟变量，内存不够就没法继续做，用i.id这种命令还是有问题的

找了半天，没见到过答案，我提出我的方法吧，如果有谁能有更简便的方法，请告诉我，谢谢：
第一步，用bysort和egen手动差分掉firm FE；
第二步，用cluster2命令。
缺点就是要手动对所有变量进行组内差分

请问这个具体怎么做呢？

我之前的想法有误，
其实，同时用FEmodel和 2D cluster是有问题的，http://www.statalist.org/forums/forum/general-stata-discussion/general/240792-missing-standard-errors-when-running-2d-cluster-with-fixed-effects

下面伍德里奇的解释：“The problem also arises if you try to obtain standard errors of the cross section fixed effects when clustering at the cross section level. In effect, you are trying to compute a standard error for a sample average without putting any restrictions on the time series correlation. As time series people will tell you, this is impossible. Regrettably, this discussion did not make it into the second edition of my MIT Press book, "Econometric Analysis of Cross Section and Panel Data." It is in the slides that I use for the course. The two-way clustering is doing the same thing, and also trying to obtain a standard error for the time effects by allowing any correlation in the cross section dimension. The only reason you get numbers at all is because of the other covariates in the equation.

For a simple demonstration of the problem, use the command

reg srisk i.date, cluster(date)

and you will see standard errors essentially zero.

The only mystery is why the standard error on biz is not reported. You could try deviating the data from the cross sectional averages for each time period so that time effects are no longer needed in the cluster2 command. I'm not terribly optimistic, though. I suspect there is some special feature of the variation in biz that is causing the problem. JW”

可以用 reghdfe 这个命令， 可以快速的同时做high dimension FEs 和 double cluster estimation.
但我一直不明白 加了year， firm fix effects 以后能不能再 double cluster on year and firm