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st: Maximum Allowed Difference
From
Dani Tilley <[email protected]>
To
[email protected]
Subject
st: Maximum Allowed Difference
Date
Wed, 7 Jul 2010 08:26:59 -0700 (PDT)
Hi,
I'm trying to run a regression using lags, differences, and lagged differences
and am experiencing the following problems:
1) when I try -reg D1.var LD(1/21).var, noconstant- I get "LD21: operator
invalid: D20 is maximum allowed difference r(198);". Why is D20 the maximum
allowed, and how can I change this?
2) when I regress 10-15 lagged differences, as in -reg D1.var LD(1/15).var,
noconstant- I get one or two dropped terms. Is this due to multicollinearity or
am I doing something wrong? Either way, can I do anything to keep those
variables in the regression?
Thanks,
DF Tilley
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