Fama MacBeth Regression

[ruobing han]

Hello, I am using Fama MacBeth regression to estimate macro economic impact on PE returns. I have prepared PE panel data as follows:

Time Industrial Productions Inflation InflationChange RiskPremium TermPremium Return Entity 1 0.00183 0.054786637 0.2 0 0.01708789 -0.010832197 3.94 111 2 0.006425 0.04392896 -0.033333333 0 0.012936307 0.000992302 4.17 111 3 0.012842 0.045672367 0.233333333 -0.2 -0.011347343 0.005001688 4.4 111 4 0.004454 0.025550481 0.166666667 -0.066666667 0.005350664 0.011639535 10.36 111

My command in stata is as follows:
xtset entity time, monthly

bys entity: asreg return qp yp ui dei urp uts
drop _R2 _adjR2
asreg return _b_qp _b_yp _b_ui _b_dei _b_urp _b_uts, fmb

However, I am getting result with some variables "omitted". I am not sure what should I do to modify the data input, thank you!