I would note that my little "miest" routine was written for Stata 7.0 
when you used to be able to indicate the cross-sectional and time 
variables directly in the command line for commands like xtpcse (without 
xtset). It worked fine then but does need to be updated now that this 
seems to be no longer possible. One way to handle the problem is by 
directly programming the multiple imputation estimates of the 
coefficients and standard errors in Stata which can be done for any 
command. The equations for combining estimates are on p. 53 of our 
paper: http://pantheon.yale.edu/~ks298/index_files/Missing2001.pdf

Ken

Paul Warwick wrote:
> I recently tried to do a time series cross-section analysis using 
> Stata's xtpcse routine on a set of Amelia-imputed data files. The 
> information on the MI program in Stata indicates that it supports 
> xtpcse, but using xtpcse requires that one have previously defined the 
> country and time variables with xtset (or tsset), and I can't find any 
> way of doing this for the imputed data files.  Ken Scheve, MI's 
> author, suggested that I edit lines 8 and 9 of the miest.ado file, 
> substituting my country variable name for "panelvar" and my time 
> variable name for "timevar", but this doesn't seem to work, either.  
> Has anyone figured out a work-around for this problem?  It is likely 
> to affect not just xtpcse but all the xt routines in Stata.
>
>
>
> Prof. Paul V. Warwick,
> School for International Studies and Dept. of Political Science,
> Simon Fraser University.
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