I am doing rolling regressions with many dummy variables and retrieving coefficients of those dummy variables at each iteration (using rangerun). Some of the dummies are collinear in some ranges. Therefore, there is no coefficient produced. I would like to assign the coefficient of the variable kept in the model to those omitted for further processing (different models). That requires finding out which variable was collinear but kept in the model at each step and which variables were omitted.

I tried to use _rmdcoll but did not get anywhere. It produces a message something like dummy A1 is collinear with A2, A3, A4, A5, but it does not say which one is kept and which one is omitted. It is even stranger that some of the variables identified as collinear by _rmdcoll (e.g. A3 and A5) has coefficients estimated. I would appreciate any guidance on how to even start tackling this issue. Thanks