Hello!

I am a complete newbie to stata and I am trying to run a Fama MacBeth regression using the asreg function in Stata. I keep getting errors when I run the regressions, I believe that my main problem is how my data is set up before importing it to Stata.

Basically, I am looking at the impact that ESG may or may not have on firms performance (stock returns). I have 299 firms from 2014-2018 inclusive with monthly returns and yearly ESG values (unbalanced panel with 16,234 observations). I have imported the Fama French Factors from their website and put all the data into one spreadsheet. I think my problem is the way I set up the "date" and I am getting confused on how I tell stata to regress for each "ID" for each month of the years. Any missing returns or ESG have been removed from the spreadsheet


my code:
xtset ID YrMth
asreg ExcReturns MktRF HML SMB RMW CMA, fmb

and in the result all the factors have been "omitted" and result in 0's

How should my date variable be set up in stata, for example January 2015

I may just be doing this all wrong, and confusing myself on a daily

Any help would be greatly appreciated!