Vector Autoregression (No observation error)

[Romeo Totoro]

import fred CPIAUCSL FEDFUNDS, daterange(2005-02-01 2018-06-01) aggregate(monthly,eop)


tsset daten, monthly
tsset
rename CPIAUCSL CPI
rename FEDFUNDS I
rename daten mt /*the time variable of monthly time series*/

/*regression*/
reg CPI I, vce(robust)

/*Vector Autoregression Modeling*/
var CPI if mt<=tm(3732m12), dfk exog(I)



How come I got the error saying I have no observation in the last line?
no observations
r(2000);

[Phil Bromiley]

You didn't get a quick answer. You'll increase your chances of a useful answer by following the FAQ on asking questions - provide Stata code in code delimiters, readable Stata output, and sample data using dataex.

I don't do var, but I'd guess that your if mt<=tm(3732m12) statement is excluding all your data. What if you do su CPI I if mt<=tm(3732m12) ?