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st: -tsset- and -xtpcse-

From   "Clive Nicholas" <>
Subject   st: -tsset- and -xtpcse-
Date   Fri, 21 Nov 2003 03:05:24 -0000 (GMT)


I wondered if any -xtperts- could help with this. :-) My cross-sectional
dataset has n=3452, with n=6 per group (except for one group where n=7).

After successfully fitting several cross-sectional FGLS regressions (both
for fixed and random effects), I thought I'd try and run an -xtpcse-
regression, since even the most controlled FGLS model tested 'positive'
for serial correlation.

Unfortunately, Stata refused, because:

no time periods are common to all panels, cannot estimate disturbance
covariance matrix using casewise inclusion

Indeed it wasn't (as it was generated by [g time = _n], but that's because
I can't use a time variable for -tsset- because Stata says:

repeated time values within panel

Naturally, a panel variable has also been included in my -tsset-. Since
it's necessary for Stata to recognise that my dataset is a time-series
dataset before running -xtpcse-(otherwise: "time variable not set, use
-tsset varname ...- r(111);"), what's the solution? (I didn't pick up
anything in -help- that answers my question!)

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