SAMPLE 1 20
READ(FIRM1.txt) YEAR IGM FGM CGM ICHR FCHR CCHR / SKIPLINES=1
READ(FIRM2.txt) YEAR IGE FGE CGE IWH FWH CWH / SKIPLINES=1
READ(FIRM3.txt) YEAR IUS FUS CUS  / SKIPLINES=1
* Stack the data
MATRIX I=(IGM'|ICHR'|IGE'|IWH'|IUS')'
MATRIX F=(FGM'|FCHR'|FGE'|FWH'|FUS')'
MATRIX C=(CGM'|CCHR'|CGE'|CWH'|CUS')'

SAMPLE 1 100
* Assume that observations are uncorrelated across time.
POOL I F C / NCROSS=5 RHO=0 DN NOMULSIGSQ
* Assume cross-section correlation
POOL I F C / NCROSS=5 RHO=0 DN NOMULSIGSQ FULL

* Create cross-section dummy variables.
*  Set the number of cross-sections
GEN1 NC=5
MATRIX CSDUM=SEAS(100,-NC)
* Model with heteroskedasticity, cross-section correlation 
* and autocorrelation
POOL I F C CSDUM / NCROSS=5 NOCONSTANT DN NOMULSIGSQ FULL 
STOP