Dear Partha,
Yes, it clearly has something to do with the presence of collinearity. But it is strange that Stata (at least for xthtaylor) stochastically chooses which collinear variable to drop (and doesn't "silently" drop it as in other cases of perfect collinearity, but in my demonstration regressions "sets" one of the collinear variables' coefficients to zero, and on another run does same but with another of the collinear variable's coefficient). Wonder if this is due to some mild bug in the xthtaylor programme... In any case, dropping one of the collinear time dummies myself, prior to running the command, takes care of the proximate problem (though leaves above question open).
Thanks much,
Hewan
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