We consider the problem of Nicolai on dynamic stability of an elastic cantilever rod loaded by an axial compressive force and twisting tangential torque in continuous formulation. The problem is to find the stability region for non-equal principal moments of inertia of the rod in the space of three parameters: and the parameter for the ratio of principal moments of inertia. New governing equations and boundary conditions, which form the basis for analytical and numerical studies, are derived. An important detail of this formulation is that the pre-twisting effect of the rod due to the torque is taken into account. The singular point on the stability boundary at the critical Euler force is recognized and investigated in detail. For an elliptic cross-section of a uniform rod the stability region is found numerically with the use of the Galerkin method and the exact numerical approach. The obtained numerical results are compared with the analytical formulas of the asymptotic analysis.