[R] robust standard errors for panel data

[Max Brown]

Hi,

I would like to estimate a panel model (small N large T, fixed effects),
but would need "robust" standard errors for that. In particular, I am
worried about potential serial correlation for a given individual (not so
much about correlation in the cross section).

>From the documentation, it looks as if the vcovHC that comes with plm
does not seem to do autocorrelation, and the NeweyWest in the sandwich
package says that it expects a fitted model of type "lm" or "glm" (it
says nothing about "plm").

How can I estimate the model and get robust standard errors?

Thanks for your help.

Max