固定效应的FGLS估计怎么做？

顶!

preserve

xtdata csr ac fsp ccp dp bs bm du mi pmc ls roe eps si grow , fe clear
（set mat 800,perm）
xtgls csr ac fsp ccp dp bs bm du mi pmc ls roe eps si grow, p(h) corr(ar1)

restore
我用的这个命令处理，固定效应的GLS怎么显示，variable year not found 呢？

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挺有用的，但是如果要用工具变量，xtsacc还可行否

看到二楼的观点，想讨论一下。下面是从stata手册上摘的一段话：xtscc produces Driscoll and Kraay (1998) standard errors for coefficients
    estimated by pooled OLS/WLS or fixed-effects (within) regression. depvar
    is the dependent variable and varlist is an (optional) list of
    explanatory variables.

    The error structure is assumed to be heteroskedastic, autocorrelated up
    to some lag, and possibly correlated between the groups (panels). These
    standard errors are robust to very general forms of cross-sectional
    ("spatial") and temporal dependence when the time dimension becomes
    large. However, because this nonparametric technique of estimating
    standard errors does not place any restrictions on the limiting behavior
    of the number of panels, the size of the cross-sectional dimension in
    finite samples does not constitute a constraint on feasibility - even if
    the number of panels is much larger than T.  Nevertheless, because the
    estimator is based on an asymptotic theory one should be somewhat
    cautious with applying this estimator to panel datasets with a large
    number of groups that have only a short number of observations.
从这段解释应该说xtscc在N远大于T时应当慎用。

学习受教。

xtscc不能随便用吧

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