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In this context it means that there is at least one cross-section with zero variances for the residuals. There are a variety of reasons why this might occur, one of which was present in this case... Thanks a lot, Glenn. Your explaination is very helpful. I wish Eviews could publish an error message...

You can see what's going on if you run your model without the cross-section weights and compute residuals, you'll see that for cross-section 600603, you have but a single observation. With the fixed effects added for this cross-section, the residual is identically equal to zero so that we are unabl...

when I run panel gls( cross-section effect , cross-section weight), dependt var is toa, independent is mktpwr, crossid is stoc the message diplayed is "positive or non-negative argument to function expected in computation of group weight(variance)" I don't know how to deal with it correctl...