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:
reg ftheft tfr partic degrees year yearsquared
prais ftheft tfr partic degrees year yearsquared, corc
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?