Folks, I recently came across a robust MM-estimator for panel data with fixed effects by Bramati & Croux, Econometrics journal, 2007. The article is: http://onlinelibrary.wiley.com/doi/10.1111/j.1368-423X.2007.00220.x/abstract There is some matlab code at: http://www.econ.kuleuven.be/public/NDBAE06/programs/ I wonder if there is some experience and R code for this on this list.
Ajay Shah ajayshah at mayin.org http://www.mayin.org/ajayshah http://ajayshahblog.blogspot.com