Dear all

For a project we have to use performance regression to estimate whether a portfolio delivers a significant alpha. We should run the following time series regression for this portfolio:

rβL,t = αβL,t + γ1,βL,t(Mkt − Rf)t + γ2,βL,tSMBt + γ3,βL,tHMLt + eβL,t


I'm already stuck with doing the time series regression. I tried it like this (i'm really not good in statistics, and even worse at stata, which makes it hard to gauge if this even makes sense):

(PF = Portfolio, mkt_fr = Mkt-RF)

Code:
gen PF = (P)
gen mkt_rf = MktRF - RF

*regress return_lowP mkt_rf SMB HML if PF == 5, robust

cap regress return_lowP mkt_rf SMB HML, robust
  
    gen nobs = e(N)
    
    gen b_MktRF = _b[mkt_rf]
    gen t_MktRF = _b[mkt_rf] / _se[mkt_rf]
    gen b_SMB = _b[SMB]
    gen t_SMB = _b[SMB] / _se[SMB]
    gen b_HML = _b[HML]
    gen t_HML = _b[HML] / _se[HML]
    gen b_cons = _b[_cons]
    gen t_cons = _b[_cons] / _se[_cons]
    
    gen r2   = e(r2)
    gen r2a  = e(r2_a)
    
runby myreg, by(PF)
but if i try this, i get the following error:

--------------------------------------
Number of by-groups = 25
by-groups with errors = 25
by-groups with no data = 0
Observations processed = 27,900
Observations saved = 0
--------------------------------------

Could someone help me out on how to approach this task?

Many thanks in advance!