Error r(3301)

[Stefano Pagliarani]

Hello everyone,

I am trying to run a cointegration with panel data using the xt function on a dataset which includes different countries and years. After using xtset with country and year, I try to run xtcointreg with some of the variables and stata returns the following:

. xtcointreg var1 var2 var3
                  xlag():  3301  subscript invalid
            autobwidth():     -  function returned error
           lrcovkernel():     -  function returned error
                _lrcov():     -  function returned error
              cointreg():     -  function returned error
                 <istmt>:     -  function returned error
r(3301);

I manually checked the dataset, and it seems everything is fine. How can I solve this?

Thank you for your help