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In the Least Squares Panel Options, there are three boxes to choose. The first box is Effects specification where we can choose fixed or random effects in the cross-section or period. The second box is Weights option where we can choose different kinds of GLS weights. The third box is Coef covarianc...

Thanks for your suggestions. But I would like to point out that there is a restriction on the maximum number of cross-section dummies. Once the number of cross-section dummies is greater than 14, there will be an error message saying that "Near singular matrix".

I tried to estimate a panel data model with fixed effects. The panel consists of 39 cross-sections and 32 time series. In the Panel Options, I chose Cross-section: Fixed. Then in the GLS Weights options, I chose Period SUR. Then I got an error message: Cross-section effects with period GLS weights n...