Driscoll and Kraay (1998) Standard Errors

[IRJ]

Does anyone have code for the Driscoll and Kraay (1998) standard errors?

Driscoll, J. C. and A. C. Kraay (1998). “Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data”. Review of Economics and Statistics 80.4, pp. 549–560.

[TomDoan]

That would be done with a CLUSTER option on time. If you have a standard RATS panel calendar, that would be done by adding the CLUSTER=%PERIOD(T) option. The Greene textbook example GRN7P368.RPF has:

preg(method=fixed,effects=time,cluster=%period(t)) lwage
# exper expersq wks occ ind south smsa ms union

as one of the models estimated.