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st: re: VAR command with panel data

From   Kit Baum <>
Subject   st: re: VAR command with panel data
Date   Thu, 07 May 2009 15:18:11 -0400

Note subject line. -var- commands do not work with panel data; they work with single timeseries. Properly declaring it as a panel would not help unless you used an -if- qualifier to restrict analysis to a single panel unit.

Josep said

We have a panel data and we want to run Granger test.
First we use the tsset command.
Then we use var command writing only two variables (var variable1
variable2) and we get the following message:

repeated time values in sample

Can anybody give us some good advise? How can we run Granger test in our

Nick responded

I guess that your -tsset- failed to specify the panel identifier as well
as the time variable.

Kit Baum   |   Boston College Economics & DIW Berlin   |
An Introduction to Stata Programming |
   An Introduction to Modern Econometrics Using Stata  |

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