Hi everybody,

I do run into an issue when i try to hold my monthly dates fix in a panel regression. My monthly data goes from 2010m2 to 2017m12 and my company IDs from 1 to 36. This is how I set up my panel data and run the regression where I hold my monthly data as fix.

Code:
xtset company monthly_date, monthly
xtreg rirf smb hml rmrf logfund i.monthly_date, fe
After running this command I am receiving following error:
Code:
692 to 695 omitted because of collinearity
So I deleted the last four months (2017m8 to 2017m12) and run the regression again and the same error occurs but this time for 687 to 691.

Could there be an issue with my monthly_dates since it includes the year as well?

This is my dataset


Code:
* Example generated by -dataex-. To install: ssc install dataex
clear
input float monthly_date double(smb hml rmrf) float logfund byte(company cdo) float(rirf count)
601  -.036514175869505734  .0025293933861673763   .033348853308805326  -.10161838 1 1    .00900477 95
602    -.0215275974788165    .01524125748892807     .0671608830527568  -4.1915917 1 1  -.066759616 95
603    .05550790308483817   .016953214795139483  -.014319209221417939    4.086231 1 1   .008650292 95
604  -.016084222905528123   -.02544223358694256   -.06268477647586279           . 1 1   -.10051205 95
605    .02654983178013808  -.026604682410637286   -.04670257776458653           . 1 1    .00862416 95
606   -.00886170225805974  .0027967609693756654    .06855798416035297    .8645698 1 1    .09878013 95
607  -.011097842408922651  -.007216067466606142  -.002605998486428396     -3.3417 1 1   -.01486315 95
608    .01182346043102811    .00733166483484201    .06504451846776926   -.9084993 1 1   .026974116 95
609   .012117052096444971    .01198267355369398   .024898367040149028   1.5605234 1 1    .02062775 95
610  -.006399954583929786 -.0010655676616467182   -.02294212419408337           . 1 1    -.0201264 95
611   .019644539618828505   .017975768239058894    .07101945566406642           . 1 1   .009254899 95
612    .01077754621823239    .04483825069637799 -.0057110701052867086           . 1 1    .06898722 95
613  -.029092239543648753 -.0028042045008483526   .023532975618520524   2.1314764 1 1   .011119372 95
614    .01230163857190266   -.02233653236390789  -.008534058966924718  -4.7492657 1 1    -.0575213 95
615    .02613016784821751   -.02895988958783636   .030606216620311155    3.454747 1 1    .06345803 95
616   .009289561401437193  -.018097620265274648  -.007607569331971931   -1.655642 1 1  -.036296807 95
617 .00002914416762892988   -.01876131940307323   -.00491498049572503   -2.685545 1 1   -.05022915 95
618   .008036222380935987  -.015927560541959984  -.022461609715633934  -1.7793577 1 1  -.017468331 95
619  -.034311907281683075   -.03593227335451528   -.06929402493718684 -.016998496 1 1   -.09608927 95
620  -.005623074355629684 -.0037081138111124887  -.050484771738572354    2.930478 1 1   -.11443503 95
621   -.04171612828532815    .03736264272951367    .07857916734233927           . 1 1    .13584907 95
622   -.02693544312619141  -.020497889685058775  -.004034888475733633           . 1 1      -.10499 95
623  -.030261232599096095  -.011027060354750633   .008235358990462016    1.597355 1 1   -.01898357 95
624    .06815461747411422   .018008271927890743    .02686230474442275    .2579462 1 1    .09503626 95
625    .03332802232021279   .010554173727011423    .04256108985570095    1.622247 1 1    .06088224 95
626    .03258665022769277   -.02638991921262206  -.009821751454205163   1.5921386 1 1   .014433577 95
627  -.006723463055800775  -.013646608332801714  -.003627949879624226   -.0959006 1 1    .01654744 95
628  -.007647472958901345    -.0446909047614286   -.06825410085641948  -1.9475297 1 1   -.12108926 95
629   -.01015187422923272    .02149253541855473    .04793511731582378   1.7317373 1 1      .121951 95
630   -.00839674525972568  .0038843329882057107   .013070814455744983   -1.415052 1 1   -.04969415 95
631   .022109671189466315  -.004532378270757396   .021941545201706214    2.284748 1 1    .04921225 95
632   .036389738036252166   .006986563554366151   .010641840379512768   -3.452483 1 1    .06512122 95
633   .007291517991277678    .02091703975561352   .010161542555200631    .4359791 1 1    .06901934 95
634  -.004706083792818343  -.023014286668762058   .017360576800751426   .27342716 1 1    .04181667 95
635   .039838922492127865   .036944795977378986   .009589810546145605   1.1399254 1 1     .0286327 95
636   -.01047002895328017   .007491489230127241    .06350787766650834   -.1870548 1 1    .08035851 95
637   .021440265952123522   -.03851744839277014   .022479996348479636   -.5839676 1 1   -.02321159 95
638   .004467927620971997  -.030007977856374095   .013790078065550881    .7561522 1 1  -.023453426 95
639   .007187433774620971   .007571860114914886   .005541814749907115   -.5541095 1 1    .02617436 95
640   .018998745903347946   .004076869567070658   .028857446712000634    .7699007 1 1    .01356897 95
641   .029646761754481957  -.013256487898461962  -.050186404013339514   .05071711 1 1   -.06037876 95
642   .011184472446057414     .0161777750039964     .0675494806732666    .7218434 1 1    .09575707 95
643   .029326422459260888 -.0012290111232412804   -.02237600810842366  -2.3478177 1 1  -.069222786 95
644   .012946069141060154   .024081010093778353   .010870124366911593     3.21029 1 1     .0363553 95
645 -.0031673632064038912   .008939541134347289    .04262777652538041   -.2583155 1 1   .019869646 95
646    .01729014471928265 -.0029961459178782244  -.007217252937173013  -.21119948 1 1    .01903418 95
647   .009957719460398126   .005753078839537089   .018149939209104682  -1.2031468 1 1   -.01801914 95
648    .05117161536252421   .012536805753994148  -.030824471928474373     1.60728 1 1   -.06105831 95
649  -.010406512922892372  .0064731877085343545   .052111414023473746   -.3218664 1 1   .023789003 95
650   .002818461825582673  -.025215630343872177   -.02640462774782537   2.3768537 1 1  -.022286864 95
651   -.05069939558569984   .037715904556980026    .02134724869082838   -2.227464 1 1    .00688445 95
652  -.006481343126716534   -.01954972008639737   .013459540114304724  -1.7826566 1 1    .04431939 95
653  -.006273052946618607   .009364433876928778  -.013167212887771784    2.818183 1 1   -.03978315 95
654 -.0004718323919503699   .018827422385349214 -.0033372295379971995  -.10404377 1 1    .05949596 95
655 .00032042844890393246   -.01865599288963321    .02119507531754583   -1.113073 1 1    .01691253 95
656  .0050589203097871115  -.010805213440073248   -.02810894718432133   -.2348104 1 1   -.06302201 95
657  -.010312131725831461  -.013780855157571461  -.007201302475405735   1.9372303 1 1   .017601803 95
658  -.021015179237970427  -.018125270293037052   .028877005101984876  -.54536074 1 1   -.02529287 95
659   .039447237200893465  .0005183292481098396   -.01629614057446971  -.54531413 1 1   -.04905805 95
660  -.031547864978734096  -.023463569249313462    .02595494603411508     .602177 1 1   -.03548355 95
661   .014401264138617082   .031695393074570526    .03694463773913359  -1.9047877 1 1   -.02588804 95
662   .021180274592925485  -.014069639222224472  -.017026400861084423    .9617122 1 1   -.02329002 95
663 -.0015417348751962285    .01573314287536166    .03000143239507591    2.664853 1 1    .16848493 95
664    .03836922633755008  -.021919003631563592   .013106775549405203   -3.398118 1 1  -.036418404 95
665    .04553317787241746  -.011647200365225773  -.057890170056590584   1.7016034 1 1   -.05683103 95
666  .0008566452210352163   -.03970912756107644   .023582996873041884   -.3471177 1 1   .008551351 95
667     .0332395147634645  -.018284622970875478  -.053605934227328844   .48566735 1 1    -.1084181 95
668 -.0035941715390133944  -.039068628837402086  -.027711616304930353  -.33487836 1 1   -.05348196 95
669  -.039522921940401856   .026294645993469257    .04656962874037118  -1.0604249 1 1    .05068932 95
670  -.009071788690842039   -.03401955315799056   .005316195898865672   2.3604498 1 1   .016334798 95
671   .025810807329112468  -.008845475605861842  -.013110171787779734  -1.0584207 1 1  -.008863819 95
672   -.04980502074428275    .01009454707728813  -.031215305984526154   -.2067911 1 1   -.11678335 95
673   -.02207787200947993  -.021563677900521893   .007640342126203237   -1.201201 1 1   -.08310047 95
674    .01113350943691084   .014586873773870785    .01901043501083355    1.261201 1 1   .005262943 95
675   -.02366443699028754    .04009040587575487   .010997352266630012  -.25275686 1 1    .06252409 95
676   .028812074998646575  -.013168133572902255   .006473111237397244    .5999759 1 1  -.007415673 95
677   -.14775208707903628   .008502035614135435    .02788164497814205  -1.5793946 1 1   -.03883302 95
678    .04382344719109804   -.04147098269910863   .039799088113590564    .9965172 1 1     .0551574 95
679    .03471075678566517  -.004561228311805164   .018794482530042567    .3449778 1 1    .14002751 95
680  -.007581936228231723  .0012440462001456504   .016791902351763532   -.6039599 1 1    .01698872 95
681   -.02933695985455939    .05235982772270942   .005482367087739082    .7865248 1 1   .013802608 95
682    .04076320443415304   .028433620610781876   -.01636625715321438  -1.1880202 1 1    .05479895 95
683   .004319939178638589   .004299526987199417   .050107000587825246   -.7444353 1 1   .022772023 95
684   .010162926767272982    .01432264386103109  -.003427903207179228   2.6936486 1 1    .04825846 95
685  -.014053917875231997   -.02866341212899485   .031047991880304382  -2.1482768 1 1  -.030404136 95
686    .01131645057252604  -.009112925992691728   .012224722316625414   1.8258836 1 1   .011650962 95
687   .040778794967030386  -.002145789106071043  -.003751498469118819   -.8791324 1 1   .011682705 95
688  -.018531407308152927  -.014771428692268834   .043574759204644486  -1.0940979 1 1    .07134932 95
689   .008212105184067018   .014697217808404588   -.02479842717326819   1.9173255 1 1    .05985358 95
690    .01688821749905164    .04676639789030443    .01155920170391922  -.25643367 1 1      .079426 95
691  -.008357128740045133 -.0005543163262659943   .013753982825459143    .8859343 1 1  -.021450344 95
692   .024712721473576324  -.003569915515021286  -.004474118376849856   -.2330929 1 1   .022434713 95
693 -.0072434902404322375  -.001500686231827311   .018372140165074713   .26410604 1 1 -.0042443913 95
694   .007245510855860056    .01574284157613552  -.016853037219334177   1.2233366 1 1   .018644895 95
695  -.019623897710339306    .02061271926966939    .04747781880020718  -1.9489802 1 1    .04335742 95
601  -.036514175869505734  .0025293933861673763   .033348853308805326  -.10161838 2 1     .1022899 95
602    -.0215275974788165    .01524125748892807     .0671608830527568  -4.1915917 2 1    .14836912 95
603    .05550790308483817   .016953214795139483  -.014319209221417939    4.086231 2 1   -.05310606 95
604  -.016084222905528123   -.02544223358694256   -.06268477647586279           . 2 1   -.14159651 95
605    .02654983178013808  -.026604682410637286   -.04670257776458653           . 2 1   -.08731487 95
end
format %tm monthly_date