Dear all,

I want to perform Fama and Macbeth (1973) using asreg, but results shows omitted, what is it mean? Can anyone help?


Code:
bysort id: asreg ex_firm_re ex_w_re , fmb

I have also tried the xtfmb command, same results.

Code:
* Example generated by -dataex-. To install: ssc install dataex
clear
input float(ex_firm_re ex_w_re)
          .           .
 -.05331687    -.029625
  .12089658  -.11540207
-.011347787   -.0782566
 -.09539892  -.12427063
   -.010417  -.04178488
  .07456492  -.03086616
-.025899425  -.13644212
-.068827644  -.11250978
  .04277919  .031394314
  .10736607  -.05124994
  .11070205  -.06741464
  .05332659  -.04853665
  .02048683  -.08365837
 .034379955  -.11974768
   -.007917 -.002820788
 -.03701003   .03760269
 .021176027 -.012211945
  .02118748  -.04878318
 .033574283  -.02821072
end

Results:


Can you please provide me with some advice on how to fix this? Thanks a lot!

Fama-MacBeth (1973) Two-Step procedure Number of obs = 23833
Num. time periods = 202
F( 1, 201) = .
Prob > F = .
avg. R-squared = 0.0000
------------------------------------------------------------------------------
| Fama-MacBeth
ex_firm_re | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
ex_w_re | 0 (omitted)
_cons | .002489 .003327 0.75 0.455 -.0040714 .0090494
------------------------------------------------------------------------------