Computing Robust Standard Errors for Within-Groups Estimators.

The purpose of this note is to explain how to use standard packages to calculate heteroskedasticity and serial c orrelation consistent standard errors for within-groups estimators of a linear regression model from panel data. The within-groups estimat or is calculated as the least squares estimator in a transformed mult ivariate regression with cross-equation linear restrictions. The Whit e standard errors obtained in this way are the desired ones. Copyright 1987 by Blackwell Publishing Ltd