执行陈传波stata十八讲第十五章广义最小二乘估计出现错误

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clear
set obs 100
gen x1=uniform()
gen x2=1+3*invnorm(uniform())
gen e=invnorm(uniform())
gen u2=exp(2*ln(x1))*e
gen u3=exp(2*ln(x2))*e
gen u4=exp(ln(x1)+ln(x2))*e
gen y1=1+3*x1+5*x2+e
gen y2=1+3*x1+5*x2+u2
gen y3=1+3*x1+5*x2+u3
gen y4=1+3*x1+5*x2+u4
*当误差结构已知时，用GLS
reg y1 x1 x2
reg y2 x1 x2 [aw=1/x1]
reg y3 x1 x2 [aw=1/x2]
gen x12=x1*x2
reg y4 x1 x2 [aw=1/x12]
*当误差结构未知时，可行的FGLS回归
forvalues i=1/4{
reg y`i' x1 x2
predict uh`i',res
gen luh`i'=ln(uh`i'*uh`i')
reg luh`i' x1 x2
predict g`i'
gen `i'=exp(`i')
reg y2 x1 x2 [aweight=1/`i']
}

错误命令：1 invalid name
r(198);

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关键词：广义最小二乘 最小二乘估计 Stata 最小二乘 tata

因为数字不能做变量名。简单修改一下就好了。

1. clear
   
2. set obs 100
   
3. gen x1=uniform()
   
4. gen x2=1+3*invnorm(uniform())
   
5. gen e=invnorm(uniform())
   
6. gen u2=exp(2*ln(x1))*e
   
7. gen u3=exp(2*ln(x2))*e
   
8. gen u4=exp(ln(x1)+ln(x2))*e
   
9. gen y1=1+3*x1+5*x2+e
   
10. gen y2=1+3*x1+5*x2+u2
    
11. gen y3=1+3*x1+5*x2+u3
    
12. gen y4=1+3*x1+5*x2+u4
    
13. *当误差结构已知时，用GLS
    
14. reg y1 x1 x2
    
15. reg y2 x1 x2 [aw=1/x1]
    
16. reg y3 x1 x2 [aw=1/x2]
    
17. gen x12=x1*x2
    
18. reg y4 x1 x2 [aw=1/x12]
    
19. *当误差结构未知时，可行的FGLS回归
    
20. forvalues i=1/4{
    
21. reg y`i' x1 x2
    
22. predict uh`i',res
    
23. gen luh`i'=ln(uh`i'*uh`i')
    
24. reg luh`i' x1 x2
    
25. predict g`i'
    
26. local `i'=exp(`i')
    
27. reg y2 x1 x2 [aweight=1/`i']
    
28. }

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