Panel Time Series Data

[Eli Hadad]

I have a panel data with T>>N.
I have read about some commands to deal with this kind of panel, but i am not sure about the sequence of commands when there is the presence of cointegration, unit roots and other characteristics of time series.
I appreciate advices in the sequence of commands or literature about the theme.
Regards
Eli Hadad Junior

[Carlo Lazzaro]

Eli;
I'd take a look at -xtregar- and -xtgls-.

[Sebastian Kripfganz]

Have a look at the community-contributed xtdcce2 command. You can also find Stata Journal articles about it.

[Eli Hadad]

Thank you Carlo & Sebastian !