Next, you should specify settings for GLS Weights. You may choose to estimate with no weighting, or with Cross-section weights, Cross-section SUR, Period weights, Period SUR. The Cross-section SUR setting
allows for contemporaneous correlation between cross-sections (clustering by period), while the Period SUR allows for general correlation of residuals across periods for a specific cross-section (clustering by individual). Cross-section weights and Period weights allow for heteroskedasticity in the relevant dimension.
这是EViews 9 User’s Guide II P833的解释，我自己也不是很懂，先大致了解下
jg-xs1
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