Error Correction Model (ECM) for panel data

[Afonso Rodrigues]

Dear all,

I want to use an ECM model to estimate the short-term elasticity. I have a panel data and I have seen many similar articles which use this model for a panel data. However, when I try to run the model in Stata I end up with this error message:

"sample may not include multiple panels"

Does anyone know how can I solve this problem? The code I am using is: "egranger varlist, ecm"

I thank you all in advance.

Yours sincerely,
Afonso Rodrigues

[Sebastian Kripfganz]

The egranger command is for a single time series only, not for panel data. You might want to have a look at the community-contributed xtpmg or xtdcce2 commands.