st: Heteroscedasticity and auto-correlation in fixed effect panel data

[Chandra Kiran <cb2322@columbia.edu>]

Hi,
I have a question concerning estimation of a fixed-effects panel data 
model with both heteroscedasticity as well as auto-correlation. After 
exploring both xtgls and xtregar options, I feel both to be unsuited, 
since in the xtregar case, one is limited to no heteroscedasticity, 
while in xtgls, there does not appear to be the option of estimating 
fixed effects.
Can anyone suggest a specific command (or user written program) for 
taking care of both issues in a fixed effects setting ?

Chandra
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