st: group mean pooling VAR

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

Dear statalist,
I'm trying to do group mean pooling of VAR regression results across an
unbalanced panel (id1, year).  When I try to take the first step,
creating the pool of coefficients, I used statsby, but Stata tells me I
haven't tsset.  I get this:  

. 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, and/or has someone on the list written
a good routine for group mean pooling of VAR regressions across a
panel?
Thanks.
Jim Mahon