auirzxp 发表于 2015-3-28 17:02 
对于异方差的处理比较简单,用robust standard error就可以了,通常是"xtreg DV IVs, fe vce(robust)"。
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请问我的下面这个结果是怎样?
xtreg tfp2 lnofdi lnrd lnh lnstru,fe vce(robust)
Fixed-effects (within) regression Number of obs = 130
Group variable: industry Number of groups = 13
R-sq: within = 0.2197 Obs per group: min = 10
between = 0.0150 avg = 10.0
overall = 0.0261 max = 10
F(4,12) = 3.93
corr(u_i, Xb) = -0.8684 Prob > F = 0.0290
(Std. Err. adjusted for 13 clusters in industry)
------------------------------------------------------------------------------
| Robust
tfp2 | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lnofdi | .0327715 .0094013 3.49 0.004 .0122878 .0532553
lnrd | -.0302781 .0255642 -1.18 0.259 -.0859776 .0254214
lnh | .5199914 .7419415 0.70 0.497 -1.09656 2.136543
lnstru | .3592682 .4546678 0.79 0.445 -.6313677 1.349904
_cons | -.4094904 1.669844 -0.25 0.810 -4.047767 3.228787
-------------+----------------------------------------------------------------
sigma_u | .44122894
sigma_e | .19531583
rho | .83615484 (fraction of variance due to u_i)