sample may not include multiple panels r(459);MGARCH

[Putri Swastika]

Dear STATA gurus,

i am new to STATA and tried to run MGARCH command using time series data set on stock indices, but it results in r(459) error:

. mgarch ccc (SRI ISL = L.SRI L.ISL, noconstant), arch(1) garch(1)
sample may not include multiple panels
r(459);

. mgarch dcc (SRI ISL = L.SRI L.ISL, noconstant), arch(1) garch(1)
sample may not include multiple panels
r(459);

Expecting for answers. Thank you so much in advance.

[Andrew Musau]

It appears that you have panel data. mgarch is a time-series estimator. You should first try to tsset your data, in case you believe that it is a time-series.

tsset timevar