st: XTPCSE drops constant. Why?

[Daniel Wilde <dgw24@bath.ac.uk>]

All,

It is a Friday evening so stay with me if this is a ridiculous question. I 
am running a time effects panel data model with panel corrected standard 
errors to account for auto-correlation. I get significant results with a 
high r-squared and the expected sign on the coefficients. But Stata 
automatically drops the constant term in some of the models. Why is it 
doing this? And is it a problem?

If its any help the model is meant to be showing the elasticity between 
mortality and income, income inequality and female education. Any help 
would be greatly appreciated.

The commands and results are pasted below:

xtpcse lngdata74 lngdata36 lngdata38 lngdata99 t1-t10, correlation(ar1) 
independent

Number of gaps in sample:  5
(note: computations for rho restarted at each gap)
(note: estimates of rho outside [-1,1] bounded to be in the range [-1,1])

Prais-Winsten regression, independent panels corrected standard errors

Group variable:   unit_id                       Number of obs      = 
175
Time variable:    time5                         Number of groups   = 
96
Panels:           independent (unbalanced)      Obs per group: min = 
1
Autocorrelation:  common AR(1)                                 avg = 
1.822917
                                                              max = 
3
Estimated covariances      =         1          R-squared          = 
0.9293
Estimated autocorrelations =         1          Wald chi2(6)       = 
16876.21
Estimated coefficients     =         6          Prob > chi2        = 
0.0000

------------------------------------------------------------------------------
            |           Indep-corrected
  lngdata74 |      Coef.   Std. Err.      z    P>|z|     [95% Conf. 
Interval]
-------------+----------------------------------------------------------------
  lngdata36 |  -.6876405   .0415146   -16.56   0.000    -.7690077 
-.6062733
  lngdata38 |   .7374432     .12041     6.12   0.000      .501444 
.9734425
  lngdata99 |  -.9479843   .2120751    -4.47   0.000    -1.363644 
-.5323246
         t1 |  (dropped)
         t2 |  (dropped)
         t3 |  (dropped)
         t4 |  (dropped)
         t5 |  (dropped)
         t6 |  (dropped)
         t7 |   10.74782    .934501    11.50   0.000     8.916227 
12.5794
         t8 |   10.74098   .9369609    11.46   0.000     8.904567 
12.57739
         t9 |   10.74641   .9380019    11.46   0.000     8.907963 
12.58486
        t10 |  (dropped)
      _cons |  (dropped)
-------------+----------------------------------------------------------------
        rho |   .5561749




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