xtset: Panel data with two time variables

[Chinmay Korgaonkar]

Hello everyone. My panel data has a single panel variable and two time variables, namely, year and month. The data for years is for the period 2000 to 2005. Each of these years has data for 12 months. Kindly advise me on how to use the xtset command in this case.

[Nick Cox]

Create a monthly date variable first with say ym(year, month).

[Joro Kolev]

Generate a yearmonth/date variable from your year and month variables, and xtset on the panel variable and on this new date variable.

[Joro Kolev]

And here is the ym() function suggested in #3:

. display ym(2022,12)
755

. display %tm ym(2022,12)
2022m12

[Chinmay Korgaonkar]

Thank you so much for the prompt help.