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st: Maximum Allowed Difference

From   Dani Tilley <>
Subject   st: Maximum Allowed Difference
Date   Wed, 7 Jul 2010 08:26:59 -0700 (PDT)


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?

DF Tilley

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