Dear all, it took me a while to understand that $setobs is only applicable for panel data once the time-dimension of the panel data set is set using the setobs command with the '--panel-time' option. However, this is only seems to work for annual and quarterly data currently. See the following example which returns empty series for frequencies 5 and 7: <hansl> clear set verbose off open grunfeld.gdt -q # WORKS setobs 1 2000 --panel-time series obsdate = $obsdate print obsdate -o --range=1:20 # WORKS setobs 4 2000:1 --panel-time series obsdate = $obsdate print obsdate -o --range=1:20 # DOESN'T WORK setobs 5 2000:1 --panel-time series obsdate = $obsdate print obsdate -o --range=1:20 # DOESN'T WORK setobs 7 2000:1 --panel-time series obsdate = $obsdate print obsdate -o --range=1:20 </hansl> The following function is a workaround: <hansl> function series get_obsdate_for_panel (const string init_date "YYYY-MM-DD", const int frequency[7] "Frequency of time-dimension", const series crossdim "Series defining the cross-sectional dim.") /* Construct a panel series of $obsdate. THIS FUNCTION IS OBSOLETE FOR ANNUAL AND QUARTERLY FREQUENCIES ONLY. SIMPLY USE: <hansl> open grunfeld.gdt -q setobs 1 1935 --panel-time series obsdate = $obsdate </hansl> */ if $datatype != 3 funcerr "This function only works for panel data." endif string str_frequency = sprintf("%d", frequency) scalar T = $pd scalar N = $tmax/T smpl crossdim == min(crossdim) --restrict setobs @str_frequency @init_date --time-series matrix obsmat = $obsdate smpl full matrix mat = obsmat * ones(1, N) # T by N series obsdate = vec(mat) return obsdate end function </hansl> Best, Artur