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Correction: I meant to say "Indeed, Stata had an -XTREG- command long before..."
That is, Stata understood panel data long before it had an explicit concept of a time series calendar.
As I mentioned earlier in that message, -XTSET- is a recent addition for convenience purposes.
Indeed, the online help for -xtset- contains, as a first example,
Examples
Example with no time variable
For a panel dataset with no time variable such as a dataset with variable country and observations
on cities within country, type
. xtset country
This may or may not be new documentation in Stata 12, but the functionality has been there as long as -xtreg- has been around.
help whatsnew9to10 shows that -xtset- was added to Stata in version 10, at the same time that -tsset- was upgraded to allow,
e.g., the delta() option and clocktime data.
Kit
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
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