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xtscc produces Driscoll and Kraay (1998) standard errors for coefficients
estimated by pooled OLS/WLS or fixed-effects (within) regression. depvar
is the dependent variable and varlist is an (optional) list of explanatory
variables.
The error structure is assumed to be heteroskedastic, autocorrelated up to
some lag, and possibly correlated between the groups (panels).
Driscoll-Kraay standard errors are robust to very general forms of
cross-sectional ("spatial") and temporal dependence when the time
dimension becomes large. This nonparametric technique of estimating
standard errors does not place any restrictions on the limiting behavior
of the number of panels. Consequently, the size of the cross-sectional
dimension in finite samples does not constitute a constraint on
feasibility - even if the number of panels is much larger than T. However,
note that the estimator is based on large T asymptotics. Therefore, one
should be somewhat cautious with applying this estimator to panel datasets
with a large number of groups but a small number of observations over
time.
This implementation of Driscoll and Kraay's covariance estimator works for
both, balanced and unbalanced panels, respectively. Furthermore, it is
capable to handle missing values.
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