st: Three Fixed Effects with Millions of Observations

[George Shoukry <gshoukry@gmail.com>]

I have a data set with over 10 million observations and each
observation is uniquely identified by three variables (say time, firm,
county). I would like to include fixed effects for the three
identifying variables, cluster the standard errors at the firm level,
and run OLS and Poisson regressions for some variables in the data. I
have two questions:

1. Ideally I want to do "reg y x i.firm i.time i.county, vce(cluster
firm)", but this takes too long (not sure exactly how long because I
stopped it after a while). So far I've been able to get OLS estimates
on my computer using the undocumented _regress command with the
absorb() option. The county identifier has the most number of values,
so I do something like "_regress y x i.firm i.time, absorb(county)".
The problem is that I cannot seem to cluster the errors at the firm
level with the _regress command and I can't find documentation for it.
Any ideas on the fastest way in Stata to obtain OLS estimates in this
case with clustered errors?
Note: I tried some other options but they seem to take too long (how
long do you leave commands running before you stop them?).

2. Any experience with the best way to run a fixed-effects Poisson
regression with a large dataset and several fixed effects?

Thanks!
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