Hi everyone!

I have monthly data set presented as such

Code:
* Example generated by -dataex-. To install: ssc install dataex
clear
input long yyyymm double return
187101  .01242389
187102  .02019115
187103  .02964644
187104  .03405454
187105  .02848361
187106 -.01542547
187107 -.00863808
187108  .01915629
187109  .01136751
187110 -.05886838
187111  .03742423
187112   .0257288
187201  .02951672
187202  .00101633
187203  .04072984
187204  .03142682
187205 -.00213872
187206 -.00795212
187207 -.00034236
187208 -.00761387
187209 -.01335902
187210  .01832136
187211 -.00212152
187212  .03346823
187301  .01082923
187302  .01575765
187303 -.01307993
187304 -.00878622
187305  .01496919
187306 -.01535528
end
format %tm yyyymm

First i tried to simply use
Code:
tsset yyyymm, monthly

time variable:  yyyymm, 1.9e+05 to 2.0e+05, but with gaps
                delta:  1 month
But as you can see i get weird numbers out

I also tried do this:
Code:
 . gen date = ym(floor( yyyymm/100 ), mod( yyyymm, 100 ))  . format date %tm  . tsset date, monthly         time variable:  date, 1871m2 to 1873m7                 delta:  1 month
But later when i try to do:
Code:
newey return L.return, lag(10)
I get this syntax date is not regularly spaced

Any idea on what i should do in this situation? Thank you all in advance