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st: ARIMA for panel data?


From   Jimmy Verner <jverner@earthlink.net>
To   statalist@hsphsun2.harvard.edu
Subject   st: ARIMA for panel data?
Date   Tue, 7 Oct 2008 12:52:08 -0500

I'm working with cross-sectional time-series data.  X-12 ARIMA has a  
feature that allows the software to pick the optimal model for any  
particular series, then apply that model to all series.  However, the  
software cannot pick the optimum model for a collection of series.  So  
far as I am aware, Stata does not have such a feature, either.  Is  
that correct?  Is there any software that would suggest a single model  
(i.e, same form with identical coefficients) for all series rather  
than only one series?

TIA

Jimmy Verner
Graduate Student
University of Texas - Dallas

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