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Hello all,

estimating a panel regression i would like to relax some assumptions concerning the errors.
Am I right that coef covariance method White period allows for correlation over periods for each individual?
In contrast to White period, what does White cross-section and White (diagonal) do?

Thanks for help.
CopaLibertador

White cross-section allows for clustering by period (contemporaneous correlation). The White diagonal allows for general heteroskedasticity (but no cross-observation correlation).