Hi,

I'm working on fund performance persistence. I want to run a Fama McBeth regression using market exess return as dependent variable and the four factor model (excess_ret , mktrf smb hml mom) as independent variables. I took the risk factors from French's Website and tried to use the xtfmb command: xtfmb excess_ret_USD mktrf smb hml mom, lag(4).

As a result i dont get any coeffiecients, because they are being "omitted".
Array
Code:
 input int(fund_id month_id) float(excess_ret_USD mktrf smb hml mom) 1 602  .05430361  .0631  .0143  .0211  .0366 1 603  .00999733    .02  .0497  .0281  .0322 1 604  -.1095922 -.0789  .0005 -.0238 -.0013 1 605 -.01955375 -.0556 -.0197  -.045   -.03 1 606  .09630439  .0693  .0017 -.0026  .0188 1 607 -.02092465 -.0477   -.03 -.0195 -.0019 1 608  .10529506  .0954  .0392 -.0313  .0135 1 609   .0439209  .0388  .0113  -.026  .0164 1 610 -.05590116   .006   .037  -.009  .0254 1 611  .08198454  .0682  .0069  .0382 -.0319 1 612  .04905964  .0199 -.0247  .0082 -.0032 1 613  .02209111  .0349  .0153   .011  .0203 1 614  .01389508  .0045   .026 -.0158  .0351 1 615  .04914045   .029 -.0034 -.0252  .0006 1 616  -.0368168 -.0127  -.007 -.0208 -.0058 1 617  -.0279024 -.0175 -.0016 -.0032  .0177 1 618 -.03197328 -.0236 -.0135 -.0121  .0002 1 619 -.09962872 -.0599 -.0305 -.0248 -.0033 1 620 -.11215988 -.0759 -.0353 -.0141 -.0257 1 621   .1880953  .1135  .0342 -.0018 -.0142 1 622 -.07380099 -.0028 -.0017 -.0034  .0398 1 623  -.0213312  .0074  -.007  .0177  .0195 1 624  .09463428  .0505  .0215 -.0113 -.0796 1 625  .05866757  .0442 -.0175  .0008 -.0028 1 626 -.02237838  .0311 -.0062  .0092  .0149 1 627 -.03707525 -.0085 -.0052 -.0048  .0384 1 628 -.14057542 -.0619      0 -.0059  .0659 2 526          .  .0135  .0202  .0185  .0162 2 527          .  .0429   -.03  .0241 -.0571 2 528  .01875062  .0215   .028  .0197   .026 2 529  .02962958   .014 -.0143   .005  -.011 2 530 -.00338228 -.0132  .0175  .0022  .0021 2 531  .00146869 -.0183 -.0206 -.0262 -.0539 2 532  .01983686  .0117 -.0021 -.0039   .016 2 533  .03231329  .0186  .0226  .0139   .021 2 534 -.01912357 -.0406 -.0381  .0411 -.0229 2 535  .01624903  .0008 -.0162  .0103 -.0155 2 536  .05584915   .016  .0303 -.0025  .0524 2 537  .03868681  .0143  .0031 -.0063 -.0152 2 538  .07802767  .0454   .039  .0179  .0323 2 539  .06796304  .0343  .0011 -.0008 -.0284 2 540  .00153099 -.0276 -.0151  .0196   .032 2 541  .06052558  .0189  -.005  .0165  .0317 2 542 -.03397468 -.0197 -.0137  .0161  .0055 2 543 -.01904827 -.0261 -.0398 -.0035 -.0086 2 544 -.03953657  .0365  .0288 -.0081  .0044 2 545  .00774018  .0057  .0262  .0263  .0205 2 546  .05042563  .0392  .0293 -.0052      0 2 547  .04032664 -.0122 -.0092  .0127  .0227 2 548  .01342819  .0049 -.0058  .0077  .0345 2 549 -.02079714 -.0202 -.0121  .0022 -.0129 2 550 -.01738569  .0361   .009 -.0119  .0025 2 551  .02311369 -.0025 -.0046  .0044  .0077 2 552  .08447222  .0304  .0542  .0113  .0268 2 553   .0091292  -.003 -.0037 -.0025 -.0184 2 554  .04377983  .0146  .0354   .006  .0126 2 555  .05861366  .0073 -.0134  .0261  .0061 2 556 -.01162121 -.0357 -.0305  .0254 -.0365 2 557 -.02408048 -.0035 -.0035  .0087  .0148 2 558  .01670569 -.0078 -.0407  .0294 -.0222 2 559  .02189086  .0203  .0091 -.0171 -.0346 2 560 -.01034228  .0184 -.0137  .0004 -.0095 2 561  .05575942  .0323  .0173 -.0003 -.0023 2 562  .04849438  .0171  .0086  .0008 -.0101 2 563  .02862881  .0087  -.011  .0316  .0084 2 564  .02077733   .014   .001 -.0011  .0021 2 565  .01534891 -.0196  .0132  -.001 -.0135 2 566  .04329991  .0068 -.0005 -.0022  .0249 2 567  .05803964  .0349 -.0206 -.0115 -.0016 2 568  .01747987  .0324  .0002 -.0004 -.0027 2 569  .01855638 -.0196  .0077 -.0112  .0038 2 570  .02647226 -.0373 -.0251 -.0333   .028 2 571 -.03780674  .0092 -.0013 -.0224  .0011 2 572  .08132631  .0322 -.0229 -.0186  .0459 2 573  .06148668   .018  .0022  -.026  .0496 2 574 -.05693742 -.0483 -.0262 -.0118  .0093 2 575  .04329164 -.0087   .002 -.0051  .0652 2 576 -.03780195 -.0636  -.009  .0365 -.0789 2 577  .08509144 -.0309 -.0024 -.0094  .0611 2 578  .00719363 -.0093  .0095 -.0014   .041 2 579  .08600324   .046 -.0164 -.0095  -.002 2 580  .05833438  .0186  .0322 -.0138  .0321 2 581  .01241657 -.0844  .0128 -.0242  .1253 2 582 -.08111806 -.0077  .0245  .0588 -.0514 2 583 -.06775746  .0153  .0361  .0152 -.0404 2 584 -.18227392 -.0924 -.0116  .0633  .0035 2 585 -.27378786 -.1723 -.0232 -.0289  .0779 2 586 -.09775573 -.0786 -.0296 -.0602   .071 2 587   .0877123  .0174  .0361 -.0025 -.0508 2 588 -.05113091 -.0812  .0008 -.1118 -.0184 2 589  -.0388609  -.101  .0022 -.0727  .0416 2 590  .03864679  .0895 -.0008  .0356 -.1138 2 591  .10172112  .1019  .0477  .0553 -.3439 2 592   .1678667  .0521 -.0234 -.0023 -.1244 2 593 -.04437621  .0043  .0262 -.0272  .0529 2 594   .0779318  .0772  .0207  .0528 -.0536 2 595  .02397303  .0333  -.009  .0775 -.0884 2 596  .07202368  .0408  .0246  .0093 -.0493 2 597 -.01166996 -.0259 -.0423 -.0418  .0266 2 598  .01087924  .0556  -.025 -.0017  .0029 end
I don't understand what I am doing wrong so help would be highly appreciated.