这些组里y的值都是一样的吧？

是的，500多个stkcd和5个year，用xtlogit,re时没有drop

手册是这么说的：
The second message tells us that 2,744 groups were “dropped” by clogit. When either union = 0
or union = 1 for all observations for an individual, this individual’s contribution to the log-likelihood
is zero. Although these are perfectly valid observations in every sense, they have no effect on the
estimation, so they are not included in the total “Number of obs”. Hence, the reported “Number of
obs” gives the effective sample size of the estimation. Here it is 12,035 observations—only 46% of
the total 26,200.

是不是说在一个截面中都是1或者都是0的截面太多了啊？如果是这样的话，对回归的结果及其有效性有没有影响呀？

这样算是圆满回答你的问题了。我自己也趁这机会再学习了一遍。