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Re: st: statsby on a panel


From   jpitblado@stata.com (Jeff Pitblado, StataCorp LP)
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: statsby on a panel
Date   Thu, 23 Mar 2006 09:41:38 -0600

James Mahon <James.E.Mahon@williams.edu> using -statsby- with panel data:

> 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?

James needs to use the -basepop()- option to restrict the initializing sample
to a single panel.  -statsby- must run the prefixed command once in order to
build the expression list from '_b', however -varbasic- can only be used with
a single panel.  Based on the above output, the following should work:

	statsby _b , by(id1) basepop(id1==1) saving(varDT): varbasic ICRGliberal DirTax year, lags(1/2)

--Jeff
jpitblado@stata.com
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