https://bbs.pinggu.org/thread-188730-1-1.html

这里有stata的manual，里面介绍的很详细。

 xtreg y x, fe 
 est store m_fe
 
 est table m_ols m_fe, b(%6.3f) star(0.1 0.05 0.01)

  *---拟合值和残差
    * y_it = u_i + x_it*b + e_it
    * predict newvar, [option]                     
                                                     /*
       xb           xb, fitted values; the default
       stdp         calculate standard error of the fitted values
       ue           u_i + e_it, the combined residual
       xbu          xb + u_i, prediction including effect
       u            u_i, the fixed- or random-error component
       e            e_it, the overall error component */
 
    xtreg market invest stock, fe
    predict y_hat
    predict a   , u
    predict res , e
    predict cres, ue
    gen ares = a + res
    list ares cres in 1/10