Huber-White’s sandwich estimator

[Jo Smith]

Hi,
Just asking what is the code to do Huber-White’s sandwich estimator (as a robust standard error method) for PANEL data.

Also, Is this test helps in outliers or only for heteroscedasticity ?

With many thanks

[Stephen Jenkins]

Jo: please look at the help files and Manual entries (including methods and formulae) for the specific panel data model that you're interested in. There is a lot of material there regarding "robust" standard errors.