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st: fixed effects with robust standard errors
I am trying to do what Nick suggested in a posting a few years back (see
below), i.e. to estimate a fixed effects model with
heteroskedasticity-robust standard errors by transforming the data to
deviations from means and then running the regress command, with the
option robust specified.
However, I believe I need to correct the degrees of freedom for the number
of dummy variables this procedure implicitly estimates. Is it possible to
do this within the regress command; should I (not being an expert
programmer in the least) try to program it myself; or is there some other
way to change the degrees of freedom used?
Thanks very much,