Hello everyone,
I am new to the PVAR methods and I am having issues trying to run the pvarsoc command to determine the optimal lag. The id variable is the id of the respective country in the panel. See output below. Can someone tell my STATA is stating that the panel variable is not set?

. xtset id
panel variable: id (unbalanced)

. xtset TIME
panel variable: TIME (unbalanced)

. pvarsoc RealHouseCost RealGDPGrowth
Running panel VAR lag order selection on estimation sample
panel variable not set; use xtset varname ...
r(459);