Entity includes

I can include a file into a document using an entity declaration in the doctype then use &entity; What if within the file that I am including I also want to include a file? It seems that files that are included cannot have a doctype* - so does that mean it simply cannot be done? One cannot include a file that includes a file using entities?

* I get a parse error if I attempt it and:
http://xml.silmaril.ie/authors/includes/ "The one thing to make sure of is that the included file must not have an XML or DOCTYPE Declaration on it."