So back to my original question. How to prevent The Forecast graphic treating the Panel data series as a continuum between panels, and joining panel units together.

Brian

OK, so from what I understand you're running a fixed-effects model by using the explicit LSDV approach, in order to "trick" gretl's pooled OLS routine to show you something.

Econometrically I'd say that this requires a reasonably large time dimension; in a short-T panel you cannot consistently estimate the unit-specific intercepts. It sounded as if for you T=21, so it might possibly just be enough. I'm also assuming that you only have exogenous regressors, especially no lagged dependent variables.

Technically I'm not aware of an easy way to obtain this plot, currently. It is feasible, because you can save the static forecast values and its standard errors, and then you could construct a plot of the various units in the time series dimension. In the latest gretl version (2023c) there is a new feature that allows to plot several bands in a single plot, which would be needed here. (There have been some bug fixes in that area since 2023c was released, not sure if those fixes would be needed as well.) But it would involve some scripting, would admittedly be a little fiddly and not completely trivial.

I challenge our practical panel guy Artur to present a solution, hehe!

cheers

sven