I have a panel data set with N (=100) groups and T (=9) observations
per group. I want to allow for heteroskedasticity across groups (but a
constant variance over time (T) within each group) and arbitrary serial
correlation within group but equal pattern aross groups (i.e., the same
serial correlation model within each group).
I do not want to use GLS. I want to use OLS with robust standard errors.
How do I get these standard errors n Stata?
My understanding is that using reg with options robust and cluster(i)
gives me a more flexible model than the one I want.
I believe your understanding is correct. I do not know of anyone who has
programmed that correction in Stata. However, I know that John Ham, Steven
Lehrer, and John Kagel have a paper (forthcoming in the J. of Econometrics)
where they use a correction somewhere in between what you want and Stata's
robust, but they coded in Fortran. Maybe the paper is explicit enough about
how it performs the correction that it would be helpful to you. Good luck.
