Dear all, I am running an xtlogit with a lagged independent variable (the variable is stationary), but such lags are collinear. I try to run an almon model and yet, the issue seems to persist. In their book (basic econometrics), Gujarati and Porter say that a possible way to solve multicollinearity is by creating orthogonal polynomials (in stata is the command orthog). Now, my question is: is it possible to use this technique on the lagged values of the same independent variable, and if yes, the stata command is the same?
Thank you in advance