Country in state, having installed a Labour leader (9)

I believe the answer is:

australia

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'country in state' is the definition.
'Australia' can be an answer for 'state' (Australia is an example). I'm unsure of the 'country in' bit.

'installed a labour leader' is the wordplay.
'installed' is an insertion indicator.
'labour' becomes 'L' (political abbreviation).
'leader' becomes 'austria' (I am not sure about this - if you are sure you should believe this answer much more).
'a'+'l'='al'
'al' going into 'austria' is 'AUSTRALIA'.

'having' acts as a link.

Can you help me to learn more?

(Other definitions for australia that I've seen before include "Smallest continent" , "faraway country" , "Film" , "Test match players" , "Oz" .)

I've seen this clue in The Times and The Sunday Times.

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