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Re: st: xtpcse - "no time periods are common to all panels"

From   Gordon Hughes <>
Subject   Re: st: xtpcse - "no time periods are common to all panels"
Date   Tue, 15 Nov 2011 19:26:27 +0000

Frequently and I suspect that you are misinterpreting the message. What it means is there is no set of years with data for all 120 countries. The fact that "many" countries have data is not sufficient because, given your description, it is necessary that every country should have data for at least some of the 3 years that represents the minimum length of data across panel units. Probably, even one year is not enough, because the routine is trying to calculate an m x m covariance matrix for the errors across panel units.

The simple solution is to use the "pairwise" option which relies upon the pairwise covariances between panel units. Even then you should consider dropping the panel unit(s) with very small numbers of observations.

Gordon Hughes


I have panel data for about 120 countries, unbalanced (the number of years ranges from 3 to 20). I set it up with "xtset panel year." But when I try to run -xtpcse- I get this error message: "no time periods are common to all panels, cannot estimate disturbance covariance matrix using casewise inclusion." But I know that that the panels do include common years. Most of the panels include the same 15 - 16 years. Does anyone have experience with this problem?



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