Hello,


I want to apply a vector auto regression model to analyze the relationship between oil prices, employment rates and control variables. My data is a balanced panel data over a time span of 25 years and 13 countries. I am new to this kind of regression and very confused which approach i should use. The time series (tsset) or the panel data(xtset)? .

For the time series approach i would create an additional variable to identify each observation uniquely and set this variable as tsset?


generate ts=_n

tsset ts


Or should I use the panel data approach with xtset? However, in relation to literature the time series approach with tseet seems more common....


Hopefully some could give me a feedback on how to proceed and if the creation of an additional time series variable is permissible?



Best Regards

John Marburg