st: Robust standard errors in a unbalanced two-way fixed effect model

[Fredrik Wilhelmsson <Fredrik.Wilhelmsson@nek.lu.se>]

Title: Robust standard errors in a unbalanced two-way fixed effect model

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.

Fredrik Wilhelmsson