title: Why all the coefficients except the first(intercept) are obtaining the value very close to zero(e^-17 or low) in the OLS regression model?
body: <p>I wrote the following code in python using the <strong>statsmodels</strong> package, to create <strong>OLS</strong> regression model. I tried the code with different data-sets and got the model with all the coefficients values near to zero except the first(intercept) coefficient. What could possibly be wrong with the code ?</p>
  
  <pre><code>data1 = pandas.concat([Y, X], axis = 1)
  dta = lagmat2ds(data1, mxlg, trim='both', dropex=1)
  dtaown = sm.add_constant(dta[:, 0:(mxlg + 1)], prepend = False)
  dtajoint = sm.add_constant(dta[:, 0:], prepend = False)
  res2down = sm.OLS(dta[:, 0], dtaown).fit()
  res2djoint = sm.OLS(dta[:, 0], dtajoint).fit()
  </code></pre>
  
  <blockquote>
    <p>Here the <em>sm</em> is <em>statsmodels.api as sm</em> and for sample testing you can consider the dataset <em>sm.datasets.spector</em>.</p>
  </blockquote>