0

I have estimated a model with OLS, where I have found autocorrelation with Durbin-Watson and Breusch-Godfrey. I want to use Prais-Winsten or Cochrane-Orcutt to remove the problem. When estimating the model, it removes a variable, which is a squared variable of another variable in the model.

I use the following code:

gen yearsquared=year*year

For OLS:

reg ftheft tfr partic degrees year yearsquared

For Cochrane-Orcutt:

prais ftheft tfr partic degrees year yearsquared, corc

For Prais-Winston:

prais ftheft tft partic degrees year yearsquared

In both cases, yearsquared gets removed from Stata.

Any advice, as yearsquared shouldn`t be removed due to collinearity?

Richard Hardy
  • 67,272
James
  • 1
  • Please use capital letters and punctuation where appropriate. – Richard Hardy Dec 18 '20 at 20:53
  • 1
    Cross-posted and discussed at length at https://www.statalist.org/forums/forum/general-stata-discussion/general/1586529-squared-variable-omitted-in-estimation-of-prais-winsten-and-cochrane-orcutt Telling people about cross-posting elsewhere is always a good idea. – Nick Cox Dec 19 '20 at 01:45

0 Answers0