Fama French regression estimating excess return

[Naomi Bergen]

Dear Statalisters,

I am new to the topic Stata, and have a rather simple question, unfortunately I could not find the right answer in previous posts.
I am calculating the excess return of portfolio A as opposed to Portfolio B using the Fama French 3factor model. I created the monthly return for both portfolios and generated diff_return.

bysort date: egen return_a = mean( monthly_return ) if group == 1
bysort date: egen return_b = mean( monthly_return ) if group == 2
gen diff_return = return_a - return_b
gen mrkt_rf = mrkt-rf

reg diff_return mrkt_rf smb hml

I am testing the model with Fama French 3F corrections for SMB HML and MRKT-RF:

diff_return = alpha + B1*(mrkt-rf) + B2 * smb + B3 * hml + error

Can I just run a basic regression?

I am not sure if I can, because I am replicating table 4 of Hong, H., & Kacperczyk, M. (2009). The price of sin: The effects of social norms on markets. Journal of Financial Economics, 93(1), 15-36.
They explain that they did a time series regression of portfolio (a-b). However, when I search for time series regressions, I believe that I have to change the dataset to panel data with returns for both portfolios for each date. Instead of only the difference on a single date. However, I am unfamiliar with this kind of regressions.

Which method will be the best way to estimate the model?

Thank you in advance.