CUSUM6 after ardl command with panel data - errot message

[Marco Giansoldati]

Dear Members,

I would like to test the presence of one or multiple structural breaks on the macroeconomic series I using as explanatory variables of imports.

My investigation covers only three countries, which I pick from my database which include a much larger number of countries.

I employ the ardl command and use the if option to select the country of interest. An example of my specification is as follows:

ardl mgsv rmp nc itv xgsv if ifscode==939, ec1 lags(1 5 1 1 1)

My intention is to employ cusum6 command as follows

cusum6 mgsv rmp nc itv xgsv if ifscode==939, cs(cusum) lw(lower) uw(upper)

but I get the following error message:

command may not be used with panel data
r(459);

I understand from the help of the cusum6 that the command be employed only with time series data. However, I was wondering if there is a way to employ the command for separate countries independently.

I posted a similar question in reply to a older post:

http://www.statalist.org/forums/forum/general-stata-discussion/general/1326561-diagnostic-test-and-stability-test-after-ardl-estimation

but being not sure that could be visible to the members involved in that conversation I decided to open a new post.

I do hope that the question is not too silly and I do thank everyone who will read this post and provide their feedback.

Marco