Hi everyone, I am currently running a regression where I am measuring the impact of factors on the return on company merger & acquisition transactions. I have merged 6 datasets together with multiple variables to analyse to create a panel dataset and up till this point everything works. I have 853 unique firm transactions from 1995 to 2021 but not every date is covered and there are a couple dates where 2 transactions have taken place. I have specified the dataset using xtset with TargetID from 1-860 as the panel variable and Date as the Date variable. It comes up as weakly balanced. I have also increased memory size to 32,000.

Code:
xtset TargetID Date2

Whenever I try to run any regression with xtreg, it comes up with insufficient observations regardless of the number of explanatory variables. If I run the same variables under a normal linear regression using the standard reg command, it produces an output. I was wondering what my error is with regards to not being able to use xtreg to run my regression over time.

Code:
gen excess = cprem3day - RF
xtreg excess MKTRf SMB HML
predict phat
gen CAR = cprem3day - (RF+phat)
Array

Array

Many thanks in advance! I have consulted many forums and have not come across an answer that works so I hope that you can help.