Hi! Ive estimated a model with OLS, where ive 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 advices, as yearsquared shouldnt be removed due to collinearity?
Thanks!
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 advices, as yearsquared shouldnt be removed due to collinearity?
Thanks!
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