James Mahon <[email protected]> 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
[email protected]
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