st: statsby on a panel

[James Mahon <James.E.Mahon@williams.edu>]

Dear Statalist,
I'm running statsby on a panel to do group mean pooling of VAR regression
coefficients and SEs.  But it tells me I haven't tsset when I
have: 

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
r(111);

Am I doing something wrong?  Has someone on the list written
a good routine for group mean pooling of VAR regressions across a
panel?
Thanks.
Jim Mahon