st: GLS again

[Oleksandr Shepotylo <shepotil@econ.umd.edu>]

Hi,

I want to get estimates of beta:

beta=inv(X'*W*X)*(X'*W*Y), where W as already known.

Is there a program that can do this?

I checked xtgls and it is not good since my error struccture is more 
complex.

I can program it but before I start I want to make sure that there is no 
other programs that already there.

Thanks,

Oleksandr Shepotylo.

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