|From||Fredrik Wilhelmsson <Fredrik.Wilhelmsson@nek.lu.se>|
|Subject||st: Robust standard errors in a unbalanced two-way fixed effect model|
|Date||Tue, 25 May 2004 17:23:37 +0200|
Does anyone have any suggestions on how to calculate Arellano (or some other) robust standard errors in the framework of an unbalanced two-way panel data model? I have estimated the fixed effect model as a one-way model with time-dummy variables.
Is their any way to estimate the transformed two-way panel data fixed effect model, that is without explicitly adding time-dummy variables, in Stata?
I would be most grateful for any suggestions.