没问题:
. xtset year province
panel variable: year (strongly balanced)
time variable: province, 1 to 31
delta: 1 unit
. xtgls l.y l.k l.d.l ,p(c) corr(psar1)
Cross-sectional time-series FGLS regression
Coefficients: generalized least squares
Panels: heteroskedastic with cross-sectional correlation
Correlation: panel-specific AR(1)
Estimated covariances = 36 Number of obs = 232
Estimated autocorrelations = 8 Number of groups = 8
Estimated coefficients = 3 Time periods = 29
Wald chi2(2) = 378.91
Prob > chi2 = 0.0000
L_y Coef. Std. Err. z P>z [95% Conf. Interval]
k
L1. .081354 .0060467 13.45 0.000 .0695027 .0932053
l
LD. 3.922296 .482566 8.13 0.000 2.976484 4.868108
_cons 199516.2 16649.79 11.98 0.000 166883.2 232149.2