Wednesday, March 22, 2006

st: group mean pooling VAR

Dear statalist,
I'm trying to do group mean pooling of VAR regression results across an unbalanced panel (id1, year).  When I try to take the first step, creating the pool of coefficients, I used statsby, but Stata tells me I haven't tsset.  I get this: 

. tsset id1 year
       panel variable:  id1, 1 to 208
        time variable:  year, 1966 to 2002, but with a gap

. statsby _b , by(id1) saving(varDT): varbasic ICRGliberal DirTax year, lags(1/
> 2)
(running varbasic on estimation sample)
time variable not set, use -tsset varname ...-
an error occurred when statsby executed varbasic

Am I doing something wrong, and/or has someone on the list written a good routine for group mean pooling of VAR regressions across a panel?
Jim Mahon

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