>>I'm wondering if anybody knows a welch option in ANOVA. Stata runs a welch test in ttest. But, I was not able to find the same option in oneway or anova.<<
I discovered an interesting little fact a few months ago, which is in retrospect not so surprising:
If you set up the independent samples t-test as a dummy variable regression and use robust standard errors, you get the Welch-corrected t-test. (Try a test case yourself to verify; it's been a long year, I may be misremembering.) So you could always set up your one-way ANOVA as the equivalent dummy variable regression (using xi or, better, xi3) and use robust.
JV
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