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st: statsby on a panel

From   James Mahon <>
Subject   st: statsby on a panel
Date   Thu, 23 Mar 2006 08:46:33 -0500

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

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

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