Fama Macbeth Regression with Newey-West standard errors

[priya sawaliya]

* Example generated by -dataex-. To install: ssc install dataex
clear
input str14 stock byte stock_id int date double(MonthlylogReturns Beta Idiosyncraticvolatility Marketcapitalisation LogMC BMratio ShortTermreversal illiq idioskew coskew)
"3M IN Equity" 1 16648  .22000875         .  .142986 8969.836 9.1016227         . -.10140906  .0000103          .          .
"3M IN Equity" 1 16679  .00594774         . .0442478 9023.345 9.1075704         .  .22000875 1.600e-06          .          .
"3M IN Equity" 1 16709  .09604762         . .1154085 9933.002  9.203618         .  .00594774 3.840e-06          .          .
"3M IN Equity" 1 16740 -.18612806         . .0927586 8246.053 9.0174899         .  .09604762  .0000168          .          .
"3M IN Equity" 1 16770  .04742311         . .0760012 8646.527  9.064913         . -.18612806  .0000181          .          .
"3M IN Equity" 1 16801  .10965069         . .0958403 9648.558 9.1745638         .  .04742311 9.170e-06          .          .
"3M IN Equity" 1 16832  .07151935         . .0495798 10363.89 9.2460829         .  .10965069 3.110e-06          .          .
"3M IN Equity" 1 16860  .34647638         . .1465515 14655.33 9.5925594         .  .07151935 4.350e-06          .          .
"3M IN Equity" 1 16891  .11756522         . .0883265 16483.66 9.7101249         .  .34647638 1.890e-06          .          .
"3M IN Equity" 1 16921 -.00785582 1.0242735 .1280992 16084.31 9.6855995         .  .11756522 7.490e-06  1.2435542 -24.685447
"3M IN Equity" 1 16952 -.27436253 .93165562 .1219167 12430.47  9.427906         . -.00785582  .0000122  1.0607008 -5.4477635
"3M IN Equity" 1 16982  .03979741 1.0052914 .1011703 12935.15 9.4677037         . -.27436253  .0000129  .97821187 -4.0582126
"3M IN Equity" 1 17013 -.03140462 .91398876 .0735412 12535.24 9.4362992         .  .03979741  .0000249  .83110022 -4.4979496
"3M IN Equity" 1 17044  .01979822 .92771798 .0827738 12785.89 9.4560975         . -.03140462  .0000227  .76885024 -4.3679664
"3M IN Equity" 1 17074  .14347082 .92501127 .1185964 14758.41 9.5995684         .  .01979822 8.600e-06  .74056909 -4.1605351
"3M IN Equity" 1 17105  .03962137 .89771264  .083371 15354.89 9.6391893         .  .14347082 6.220e-06  .84390663 -4.4324168
"3M IN Equity" 1 17135  .09906806 .89292392 .0820645 16953.97 9.7382573         .  .03962137 3.440e-06  .86069025 -4.3948825
"3M IN Equity" 1 17166  .00860078 .84455079 .0466454 17100.42 9.7468583         .  .09906806 9.220e-06  .85739592 -3.8989493
"3M IN Equity" 1 17197  .11708011 .81149471 .0865417 19224.46 9.8639387         .  .00860078 4.690e-06  .99780334 -4.5538485
"3M IN Equity" 1 17225  .02308274 .78862009  .094335 19673.37 9.8870212         .  .11708011 7.340e-06  .73897419 -3.0515073
"3M IN Equity" 1 17256 -.10203222 .79077822 .0797749 17765.06 9.7849889         .  .02308274   .000025   .7602174 -3.2279556
"3M IN Equity" 1 17286  .07274823 .76711434 .0691696 19105.61 9.8577373         . -.10203222  .0000126  .75139228 -3.6595539
"3M IN Equity" 1 17317  .12631571 .75772362 .0807489 21677.99 9.9840527         .  .07274823 5.790e-06  .87493582 -3.8909802
"3M IN Equity" 1 17347  .07532471 .51870083 .1245477 23373.96 10.059378         .  .12631571  .0000111  .87994536  -8.193862
"3M IN Equity" 1 17378 -.13217596 .57872802 .0606982 20479.95 9.9272016         .  .07532471 8.320e-06    .938684 -5.1949341
"3M IN Equity" 1 17409 -.04681604 .55797771 .0867076 19543.26 9.8803857         . -.13217596  .0000272  .96386006  -6.072441
"3M IN Equity" 1 17439    .044448 .50700669 .0637702 20431.33 9.9248248         . -.04681604  .0000153   .8633899 -3.7548692
"3M IN Equity" 1 17470  .21749273 .62044345 .1530644 25395.25 10.142317         .    .044448 9.010e-06  1.2374921  .18072122
"3M IN Equity" 1 17500 -.13973865 .63649182 .0837717 22083.34 10.002579         .  .21749273  .0000137  1.1370951  2.0237212
"3M IN Equity" 1 17531  .16032942 .68824955 .1357227 25923.58 10.162908         . -.13973865  .0000107  1.1721946   1.272136
"3M IN Equity" 1 17562 -.20484379 .65520035  .120556 21121.88 9.9580647         .  .16032942  .0000188  .93988139  .77405949
"3M IN Equity" 1 17591  .04589073 .63642547 .1182923 22113.76 10.003955         . -.20484379  .0000425  1.1163664  .06413365
"3M IN Equity" 1 17622 -.07637743 .58995894 .1280075 20487.66  9.927578         .  .04589073 6.660e-06  .93171582  .80657461
"3M IN Equity" 1 17652  .02159394 .56368013  .085778 20934.88 9.9491719         . -.07637743  .0000596  .95393114  .81560963
"3M IN Equity" 1 17683  -.0152087  .5420721 .0645067 20618.89 9.9339629         .  .02159394  .0000202  .97516273  .85798388
"3M IN Equity" 1 17713  -.0917734 .51879322 .0848506 18810.86 9.8421896         .  -.0152087  .0000259  1.0620869  .95767833
"3M IN Equity" 1 17744 -.04073217 .51861309 .0734272 18060.05 9.8014576         .  -.0917734  .0000321  1.0275078  .29357533
"3M IN Equity" 1 17775  .00124673 .50388487 .0781481 18082.58 9.8027043         . -.04073217  .0000403  1.0427915  .33847384
"3M IN Equity" 1 17805 -.12894969 .50886022 .0827646 15894.92 9.6737548         .  .00124673  .0000495   1.001176  .10081521
"3M IN Equity" 1 17836 -.41584838 .41270763 .1277703 10487.15  9.257906         . -.12894969  .0000756  .36290909  -.3216245
"3M IN Equity" 1 17866 -.00430594 .38656573 .0818812 10442.09    9.2536         . -.41584838  .0000647  .40121508 -.11418069
"3M IN Equity" 1 17897 -.00291703 .35143678 .0541119 10411.68 9.2506835         . -.00430594  .0000459  .15992209 -.37410615
"3M IN Equity" 1 17928  .02853146 .32456268 .0814866 10713.02 9.2792151         . -.00291703  .0000645  .15378807  .08078816
"3M IN Equity" 1 17956 -.04527899 .31262002  .054592 10238.76 9.2339358         .  .02853146   .000271 -.11324372    .386298
"3M IN Equity" 1 17987  -.0132907 .31467122 .1238528 10103.58 9.2206451         . -.04527899  .0000856  .06973712   .2405792
"3M IN Equity" 1 18017  .13579358 .37305928 .2051834  11573.1 9.3564387         .  -.0132907  .0000502  .43599158  .22493451
"3M IN Equity" 1 18048  .19167081 .36607098 .1291256 14018.17 9.5481096         .  .13579358  .0000315  .37100417 -1.4684599
"3M IN Equity" 1 18078  .04028183 .37236193 .1162758 14594.37 9.5883911         .  .19167081  .0000193  .40339061 -1.5764107
"3M IN Equity" 1 18109  .11624239 .35365586   .06271 16393.39 9.7046335         .  .04028183  .0000228  .39921555 -1.5460708
"3M IN Equity" 1 18140  .07481452  .3635787 .0749616  17666.9 9.7794481         .  .11624239  .0000155  .39793532 -1.5928895
"3M IN Equity" 1 18170  .11207769 .35108253  .120605 19762.19 9.8915258         .  .07481452 7.580e-06  .65935185 -1.6051482
"3M IN Equity" 1 18201 -.03914775 .35221714 .0571009 19003.49 9.8523779         .  .11207769  .0000179  .90017163 -2.0504575
"3M IN Equity" 1 18231  .05287626 .37890297 .0654823 20035.37 9.9052545         . -.03914775   .000019  .94066507 -2.9872301
"3M IN Equity" 1 18262  .04786469 .42270491 .0384844 21017.67 9.9531188         .  .05287626  .0000189  .95118908 -3.0161369
"3M IN Equity" 1 18293 -.01004628 .45244584 .0526411 20807.58 9.9430726         .  .04786469  .0000102  .96078961 -4.1671911
"3M IN Equity" 1 18321  .09992103 .44378156 .0646166 22994.12 10.042994         . -.01004628  .0000174  .92754597 -4.2969528
"3M IN Equity" 1 18352  .07997487 .43082303  .079956  24908.6 10.122968         .  .09992103  .0000187  .97775599 -4.4338146
"3M IN Equity" 1 18382  .04494617  .3448735 .0695088 26053.69 10.167915         .  .07997487  .0000243  1.2365486 -3.4923748
"3M IN Equity" 1 18413  .09396104 .41370085 .1355947 28620.42 10.261876         .  .04494617  .0000494  1.6597725 -2.2844852
"3M IN Equity" 1 18443  .08521725 .37983125 .0634432 31166.31 10.347093         .  .09396104 7.950e-06  1.6204233 -1.0877946
"3M IN Equity" 1 18474  .23160529 .39776613 .0952458 39288.94 10.578698         .  .08521725 7.890e-06   1.691445 -3.7784111
"3M IN Equity" 1 18505  -.0507547 .39218399 .0463608  37344.6 10.527944         .  .23160529  .0000106  1.8209086 -7.9522883
"3M IN Equity" 1 18535   .1790559 .41063585 .0887449 44667.41 10.706999         .  -.0507547 7.020e-06  1.3175841 -7.3188803
"3M IN Equity" 1 18566 -.02556907 .36740134 .1219459 43539.79 10.681431         .   .1790559 8.820e-06  1.1471396 -5.9008553
"3M IN Equity" 1 18596 -.07131859 .41702158 .0517299 40542.74 10.610112         . -.02556907   .000012  1.2112569 -5.5241282
"3M IN Equity" 1 18627  .01169846 .45854719 .0478958 41019.81  10.62181         . -.07131859  .0000247  1.2119961 -5.2527882
"3M IN Equity" 1 18658 -.04120711 .42393788  .051112 39363.86 10.580603         .  .01169846  .0000421  1.1996988 -.81910315
"3M IN Equity" 1 18686 -.06237451 .50314955  .037339 36983.56 10.518229         . -.04120711  .0000305  1.3357813  .34467707
"3M IN Equity" 1 18717  .02456594 .46508122 .0521206 37903.35 10.542795 .14230824 -.06237451  .0000334  1.2510435 -.88634686
"3M IN Equity" 1 18747  .19940273 .43439217 .0794389 46267.61 10.742197 .11658137  .02456594  .0000222  1.2405574 -1.7016901
"3M IN Equity" 1 18778 -.04412755 .45586783 .0508011 44270.32  10.69807 .12184127  .19940273  .0000289  1.1444923 -7.2317328
"3M IN Equity" 1 18808  .06344215 .49806431 .0546355 47169.93 10.761512 .11435106 -.04412755  .0000257  1.1929369  -6.380525
"3M IN Equity" 1 18839  .07228789 .54572956 .0752915 50706.02   10.8338 .10637732  .06344215  .0000179  1.1248921 -1.5683545
"3M IN Equity" 1 18870  .02227733   .555546 .1159891 51848.29 10.856077 .10403337  .07228789  .0000136  .85930495 -1.9028241
"3M IN Equity" 1 18900 -.10197205 .51171769 .0418763 46821.85 10.754105 .11520206  .02227733  .0000258  .96762938 -.42964734
"3M IN Equity" 1 18931  .02698793 .49679597 .0495351 48102.68 10.781093 .11213402 -.10197205  .0000293  .97585121 -3.8216323
"3M IN Equity" 1 18961 -.11280144 .49561475 .0836783 42971.47 10.668292 .12552406  .02698793  .0000197  .77071216 -4.4829234
"3M IN Equity" 1 18992 -.07356567 .45676664 .0654542 39923.73 10.594726 .13510592 -.11280144  .0000511  .71444041 -5.0647167
"3M IN Equity" 1 19023  .01503851 .38704123 .0596579 40528.66 10.609765 .13309022 -.07356567  .0000466  .52851228 -6.7944433
"3M IN Equity" 1 19052  .05469242 .29830623 .0684043    42807 10.664457 .12600648  .01503851  .0000163  .45959184 -8.1332181
"3M IN Equity" 1 19083 -.03823488 .26004881 .0680345 41201.17 10.626222 .14663832  .05469242  .0000208  .48575048 -8.6742171
"3M IN Equity" 1 19113  .11054331 .29890214 .1030622 46017.37 10.736774 .13129218 -.03823488   .000038  .41315399 -8.1886031
"3M IN Equity" 1 19144 -.12908765 .29205719 .0752011 40444.52 10.607686 .14938305  .11054331  .0000449  .36751018 -6.6309579
"3M IN Equity" 1 19174  .07963447 .31123305 .0488388 43797.02 10.687321 .13794816 -.12908765  .0000413  .35628243 -3.4020146
"3M IN Equity" 1 19205 -.05051046 .29035064 .0645346 41639.75 10.636811 .14509576  .07963447  .0000346  .22245536 -4.4993246
"3M IN Equity" 1 19236  .09075356 .25681098 .0395406 45595.49 10.727564 .13250649 -.05051046   .000021   .1385776 -7.1047609
"3M IN Equity" 1 19266 -.00003706 .23257046 .0249467  45593.8 10.727527 .13251176  .09075356  .0000132  .10822475 -7.9133418
"3M IN Equity" 1 19297 -.05372343 .26389838 .0512648 43208.98 10.673804 .13982494 -.00003706  .0000209  .11831354 -5.1806331
"3M IN Equity" 1 19327   .0705672 .23093442 .0665782 46368.28 10.744371 .13029825 -.05372343  .0000222   .1669598 -.52867165
"3M IN Equity" 1 19358 -.01334144 .19880251 .0412854 45753.77 10.731029 .13204807   .0705672 6.890e-06  .22279675   2.199116
"3M IN Equity" 1 19389 -.02495455 .33880127 .0464434 44626.13 10.706075 .13538578 -.01334144  .0000137  .40673169  8.7935516
"3M IN Equity" 1 19417 -.11779408  .4548112 .0439527 39667.23 10.588281 .15231132 -.02495455 9.480e-06  .49115755  7.6534037
"3M IN Equity" 1 19448  .06467163 .54708197 .0835148 42317.35 10.652952 .15512293 -.11779408  .0000343  .23585748  14.452324
"3M IN Equity" 1 19478 -.06180744  .5014456  .067512 39781.01 10.591145 .16501378  .06467163   .000041 -.03642887   5.114447
"3M IN Equity" 1 19509  .01711243 .52091825 .0468325 40467.62 10.608257  .1622139 -.06180744  .0001055 -.07467652 -.08582019
"3M IN Equity" 1 19539 -.03319819 .42890336 .0514239 39146.12 10.575057 .16768957  .01711243  .0000171 -.10714955 -7.0886083
"3M IN Equity" 1 19570 -.00984688 .34185527 .0542408 38762.54  10.56521 .16934801 -.03319819   .000067 -.20141555  -4.767831
"3M IN Equity" 1 19601 -.14238238 .29621827 .0472133 33618.35 10.422827 .19526292 -.00984688 8.950e-06 -.26653945 -4.1918282
"3M IN Equity" 1 19631  .01864032 .35535035 .0642946 34250.88 10.441468 .19165533 -.14238238  .0000479 -.27874698 -1.3871426
"3M IN Equity" 1 19662  .08495776 .34478139 .0489257 37287.95 10.526425 .17604394  .01864032  .0000255 -.32194414 -2.9282925
end
format %tdnn/dd/CCYY date

Hello,
I would like to run Fama-McBeth (1973) regression which is a two-step procedure on my data which I have attached above. I am using the following command and it works also:

asreg MonthlylogReturns Beta Idiosyncraticvolatility LogMC BMratio ShortTermreversal illiq idioskew coskew , fmb

Here MonthlylogReturns is dependent variable and rest are independent variables. Now I need Newey-West standard errors for the second stage regression, and run following command:
asreg MonthlylogReturns Beta Idiosyncraticvolatility LogMC BMratio ShortTermreversal illiq idioskew coskew , fmb newey(2)

But this command is showing following error. I have paste this message in red text:
no observations
stata(): 3598 Stata returned error
FMB3(): - function returned error
<istmt>: - function returned error

Where I am doing mistake . Kindly help me.
Regards
Priya

[Jared Greathouse]

Thanks for specifying that you're working with a user written command, as we explicitly ask in the FAQ, which by your 41st post you've read, presumably. Anyways, when I do

* Example generated by -dataex-. To install: ssc install dataex
clear
input str14 stock byte stock_id int date double(MonthlylogReturns Beta Idiosyncraticvolatility Marketcapitalisation LogMC BMratio ShortTermreversal illiq idioskew coskew)
"3M IN Equity" 1 16648  .22000875         .  .142986 8969.836 9.1016227         . -.10140906  .0000103          .          .
"3M IN Equity" 1 16679  .00594774         . .0442478 9023.345 9.1075704         .  .22000875 1.600e-06          .          .
"3M IN Equity" 1 16709  .09604762         . .1154085 9933.002  9.203618         .  .00594774 3.840e-06          .          .
"3M IN Equity" 1 16740 -.18612806         . .0927586 8246.053 9.0174899         .  .09604762  .0000168          .          .
"3M IN Equity" 1 16770  .04742311         . .0760012 8646.527  9.064913         . -.18612806  .0000181          .          .
"3M IN Equity" 1 16801  .10965069         . .0958403 9648.558 9.1745638         .  .04742311 9.170e-06          .          .
"3M IN Equity" 1 16832  .07151935         . .0495798 10363.89 9.2460829         .  .10965069 3.110e-06          .          .
"3M IN Equity" 1 16860  .34647638         . .1465515 14655.33 9.5925594         .  .07151935 4.350e-06          .          .
"3M IN Equity" 1 16891  .11756522         . .0883265 16483.66 9.7101249         .  .34647638 1.890e-06          .          .
"3M IN Equity" 1 16921 -.00785582 1.0242735 .1280992 16084.31 9.6855995         .  .11756522 7.490e-06  1.2435542 -24.685447
"3M IN Equity" 1 16952 -.27436253 .93165562 .1219167 12430.47  9.427906         . -.00785582  .0000122  1.0607008 -5.4477635
"3M IN Equity" 1 16982  .03979741 1.0052914 .1011703 12935.15 9.4677037         . -.27436253  .0000129  .97821187 -4.0582126
"3M IN Equity" 1 17013 -.03140462 .91398876 .0735412 12535.24 9.4362992         .  .03979741  .0000249  .83110022 -4.4979496
"3M IN Equity" 1 17044  .01979822 .92771798 .0827738 12785.89 9.4560975         . -.03140462  .0000227  .76885024 -4.3679664
"3M IN Equity" 1 17074  .14347082 .92501127 .1185964 14758.41 9.5995684         .  .01979822 8.600e-06  .74056909 -4.1605351
"3M IN Equity" 1 17105  .03962137 .89771264  .083371 15354.89 9.6391893         .  .14347082 6.220e-06  .84390663 -4.4324168
"3M IN Equity" 1 17135  .09906806 .89292392 .0820645 16953.97 9.7382573         .  .03962137 3.440e-06  .86069025 -4.3948825
"3M IN Equity" 1 17166  .00860078 .84455079 .0466454 17100.42 9.7468583         .  .09906806 9.220e-06  .85739592 -3.8989493
"3M IN Equity" 1 17197  .11708011 .81149471 .0865417 19224.46 9.8639387         .  .00860078 4.690e-06  .99780334 -4.5538485
"3M IN Equity" 1 17225  .02308274 .78862009  .094335 19673.37 9.8870212         .  .11708011 7.340e-06  .73897419 -3.0515073
"3M IN Equity" 1 17256 -.10203222 .79077822 .0797749 17765.06 9.7849889         .  .02308274   .000025   .7602174 -3.2279556
"3M IN Equity" 1 17286  .07274823 .76711434 .0691696 19105.61 9.8577373         . -.10203222  .0000126  .75139228 -3.6595539
"3M IN Equity" 1 17317  .12631571 .75772362 .0807489 21677.99 9.9840527         .  .07274823 5.790e-06  .87493582 -3.8909802
"3M IN Equity" 1 17347  .07532471 .51870083 .1245477 23373.96 10.059378         .  .12631571  .0000111  .87994536  -8.193862
"3M IN Equity" 1 17378 -.13217596 .57872802 .0606982 20479.95 9.9272016         .  .07532471 8.320e-06    .938684 -5.1949341
"3M IN Equity" 1 17409 -.04681604 .55797771 .0867076 19543.26 9.8803857         . -.13217596  .0000272  .96386006  -6.072441
"3M IN Equity" 1 17439    .044448 .50700669 .0637702 20431.33 9.9248248         . -.04681604  .0000153   .8633899 -3.7548692
"3M IN Equity" 1 17470  .21749273 .62044345 .1530644 25395.25 10.142317         .    .044448 9.010e-06  1.2374921  .18072122
"3M IN Equity" 1 17500 -.13973865 .63649182 .0837717 22083.34 10.002579         .  .21749273  .0000137  1.1370951  2.0237212
"3M IN Equity" 1 17531  .16032942 .68824955 .1357227 25923.58 10.162908         . -.13973865  .0000107  1.1721946   1.272136
"3M IN Equity" 1 17562 -.20484379 .65520035  .120556 21121.88 9.9580647         .  .16032942  .0000188  .93988139  .77405949
"3M IN Equity" 1 17591  .04589073 .63642547 .1182923 22113.76 10.003955         . -.20484379  .0000425  1.1163664  .06413365
"3M IN Equity" 1 17622 -.07637743 .58995894 .1280075 20487.66  9.927578         .  .04589073 6.660e-06  .93171582  .80657461
"3M IN Equity" 1 17652  .02159394 .56368013  .085778 20934.88 9.9491719         . -.07637743  .0000596  .95393114  .81560963
"3M IN Equity" 1 17683  -.0152087  .5420721 .0645067 20618.89 9.9339629         .  .02159394  .0000202  .97516273  .85798388
"3M IN Equity" 1 17713  -.0917734 .51879322 .0848506 18810.86 9.8421896         .  -.0152087  .0000259  1.0620869  .95767833
"3M IN Equity" 1 17744 -.04073217 .51861309 .0734272 18060.05 9.8014576         .  -.0917734  .0000321  1.0275078  .29357533
"3M IN Equity" 1 17775  .00124673 .50388487 .0781481 18082.58 9.8027043         . -.04073217  .0000403  1.0427915  .33847384
"3M IN Equity" 1 17805 -.12894969 .50886022 .0827646 15894.92 9.6737548         .  .00124673  .0000495   1.001176  .10081521
"3M IN Equity" 1 17836 -.41584838 .41270763 .1277703 10487.15  9.257906         . -.12894969  .0000756  .36290909  -.3216245
"3M IN Equity" 1 17866 -.00430594 .38656573 .0818812 10442.09    9.2536         . -.41584838  .0000647  .40121508 -.11418069
"3M IN Equity" 1 17897 -.00291703 .35143678 .0541119 10411.68 9.2506835         . -.00430594  .0000459  .15992209 -.37410615
"3M IN Equity" 1 17928  .02853146 .32456268 .0814866 10713.02 9.2792151         . -.00291703  .0000645  .15378807  .08078816
"3M IN Equity" 1 17956 -.04527899 .31262002  .054592 10238.76 9.2339358         .  .02853146   .000271 -.11324372    .386298
"3M IN Equity" 1 17987  -.0132907 .31467122 .1238528 10103.58 9.2206451         . -.04527899  .0000856  .06973712   .2405792
"3M IN Equity" 1 18017  .13579358 .37305928 .2051834  11573.1 9.3564387         .  -.0132907  .0000502  .43599158  .22493451
"3M IN Equity" 1 18048  .19167081 .36607098 .1291256 14018.17 9.5481096         .  .13579358  .0000315  .37100417 -1.4684599
"3M IN Equity" 1 18078  .04028183 .37236193 .1162758 14594.37 9.5883911         .  .19167081  .0000193  .40339061 -1.5764107
"3M IN Equity" 1 18109  .11624239 .35365586   .06271 16393.39 9.7046335         .  .04028183  .0000228  .39921555 -1.5460708
"3M IN Equity" 1 18140  .07481452  .3635787 .0749616  17666.9 9.7794481         .  .11624239  .0000155  .39793532 -1.5928895
"3M IN Equity" 1 18170  .11207769 .35108253  .120605 19762.19 9.8915258         .  .07481452 7.580e-06  .65935185 -1.6051482
"3M IN Equity" 1 18201 -.03914775 .35221714 .0571009 19003.49 9.8523779         .  .11207769  .0000179  .90017163 -2.0504575
"3M IN Equity" 1 18231  .05287626 .37890297 .0654823 20035.37 9.9052545         . -.03914775   .000019  .94066507 -2.9872301
"3M IN Equity" 1 18262  .04786469 .42270491 .0384844 21017.67 9.9531188         .  .05287626  .0000189  .95118908 -3.0161369
"3M IN Equity" 1 18293 -.01004628 .45244584 .0526411 20807.58 9.9430726         .  .04786469  .0000102  .96078961 -4.1671911
"3M IN Equity" 1 18321  .09992103 .44378156 .0646166 22994.12 10.042994         . -.01004628  .0000174  .92754597 -4.2969528
"3M IN Equity" 1 18352  .07997487 .43082303  .079956  24908.6 10.122968         .  .09992103  .0000187  .97775599 -4.4338146
"3M IN Equity" 1 18382  .04494617  .3448735 .0695088 26053.69 10.167915         .  .07997487  .0000243  1.2365486 -3.4923748
"3M IN Equity" 1 18413  .09396104 .41370085 .1355947 28620.42 10.261876         .  .04494617  .0000494  1.6597725 -2.2844852
"3M IN Equity" 1 18443  .08521725 .37983125 .0634432 31166.31 10.347093         .  .09396104 7.950e-06  1.6204233 -1.0877946
"3M IN Equity" 1 18474  .23160529 .39776613 .0952458 39288.94 10.578698         .  .08521725 7.890e-06   1.691445 -3.7784111
"3M IN Equity" 1 18505  -.0507547 .39218399 .0463608  37344.6 10.527944         .  .23160529  .0000106  1.8209086 -7.9522883
"3M IN Equity" 1 18535   .1790559 .41063585 .0887449 44667.41 10.706999         .  -.0507547 7.020e-06  1.3175841 -7.3188803
"3M IN Equity" 1 18566 -.02556907 .36740134 .1219459 43539.79 10.681431         .   .1790559 8.820e-06  1.1471396 -5.9008553
"3M IN Equity" 1 18596 -.07131859 .41702158 .0517299 40542.74 10.610112         . -.02556907   .000012  1.2112569 -5.5241282
"3M IN Equity" 1 18627  .01169846 .45854719 .0478958 41019.81  10.62181         . -.07131859  .0000247  1.2119961 -5.2527882
"3M IN Equity" 1 18658 -.04120711 .42393788  .051112 39363.86 10.580603         .  .01169846  .0000421  1.1996988 -.81910315
"3M IN Equity" 1 18686 -.06237451 .50314955  .037339 36983.56 10.518229         . -.04120711  .0000305  1.3357813  .34467707
"3M IN Equity" 1 18717  .02456594 .46508122 .0521206 37903.35 10.542795 .14230824 -.06237451  .0000334  1.2510435 -.88634686
"3M IN Equity" 1 18747  .19940273 .43439217 .0794389 46267.61 10.742197 .11658137  .02456594  .0000222  1.2405574 -1.7016901
"3M IN Equity" 1 18778 -.04412755 .45586783 .0508011 44270.32  10.69807 .12184127  .19940273  .0000289  1.1444923 -7.2317328
"3M IN Equity" 1 18808  .06344215 .49806431 .0546355 47169.93 10.761512 .11435106 -.04412755  .0000257  1.1929369  -6.380525
"3M IN Equity" 1 18839  .07228789 .54572956 .0752915 50706.02   10.8338 .10637732  .06344215  .0000179  1.1248921 -1.5683545
"3M IN Equity" 1 18870  .02227733   .555546 .1159891 51848.29 10.856077 .10403337  .07228789  .0000136  .85930495 -1.9028241
"3M IN Equity" 1 18900 -.10197205 .51171769 .0418763 46821.85 10.754105 .11520206  .02227733  .0000258  .96762938 -.42964734
"3M IN Equity" 1 18931  .02698793 .49679597 .0495351 48102.68 10.781093 .11213402 -.10197205  .0000293  .97585121 -3.8216323
"3M IN Equity" 1 18961 -.11280144 .49561475 .0836783 42971.47 10.668292 .12552406  .02698793  .0000197  .77071216 -4.4829234
"3M IN Equity" 1 18992 -.07356567 .45676664 .0654542 39923.73 10.594726 .13510592 -.11280144  .0000511  .71444041 -5.0647167
"3M IN Equity" 1 19023  .01503851 .38704123 .0596579 40528.66 10.609765 .13309022 -.07356567  .0000466  .52851228 -6.7944433
"3M IN Equity" 1 19052  .05469242 .29830623 .0684043    42807 10.664457 .12600648  .01503851  .0000163  .45959184 -8.1332181
"3M IN Equity" 1 19083 -.03823488 .26004881 .0680345 41201.17 10.626222 .14663832  .05469242  .0000208  .48575048 -8.6742171
"3M IN Equity" 1 19113  .11054331 .29890214 .1030622 46017.37 10.736774 .13129218 -.03823488   .000038  .41315399 -8.1886031
"3M IN Equity" 1 19144 -.12908765 .29205719 .0752011 40444.52 10.607686 .14938305  .11054331  .0000449  .36751018 -6.6309579
"3M IN Equity" 1 19174  .07963447 .31123305 .0488388 43797.02 10.687321 .13794816 -.12908765  .0000413  .35628243 -3.4020146
"3M IN Equity" 1 19205 -.05051046 .29035064 .0645346 41639.75 10.636811 .14509576  .07963447  .0000346  .22245536 -4.4993246
"3M IN Equity" 1 19236  .09075356 .25681098 .0395406 45595.49 10.727564 .13250649 -.05051046   .000021   .1385776 -7.1047609
"3M IN Equity" 1 19266 -.00003706 .23257046 .0249467  45593.8 10.727527 .13251176  .09075356  .0000132  .10822475 -7.9133418
"3M IN Equity" 1 19297 -.05372343 .26389838 .0512648 43208.98 10.673804 .13982494 -.00003706  .0000209  .11831354 -5.1806331
"3M IN Equity" 1 19327   .0705672 .23093442 .0665782 46368.28 10.744371 .13029825 -.05372343  .0000222   .1669598 -.52867165
"3M IN Equity" 1 19358 -.01334144 .19880251 .0412854 45753.77 10.731029 .13204807   .0705672 6.890e-06  .22279675   2.199116
"3M IN Equity" 1 19389 -.02495455 .33880127 .0464434 44626.13 10.706075 .13538578 -.01334144  .0000137  .40673169  8.7935516
"3M IN Equity" 1 19417 -.11779408  .4548112 .0439527 39667.23 10.588281 .15231132 -.02495455 9.480e-06  .49115755  7.6534037
"3M IN Equity" 1 19448  .06467163 .54708197 .0835148 42317.35 10.652952 .15512293 -.11779408  .0000343  .23585748  14.452324
"3M IN Equity" 1 19478 -.06180744  .5014456  .067512 39781.01 10.591145 .16501378  .06467163   .000041 -.03642887   5.114447
"3M IN Equity" 1 19509  .01711243 .52091825 .0468325 40467.62 10.608257  .1622139 -.06180744  .0001055 -.07467652 -.08582019
"3M IN Equity" 1 19539 -.03319819 .42890336 .0514239 39146.12 10.575057 .16768957  .01711243  .0000171 -.10714955 -7.0886083
"3M IN Equity" 1 19570 -.00984688 .34185527 .0542408 38762.54  10.56521 .16934801 -.03319819   .000067 -.20141555  -4.767831
"3M IN Equity" 1 19601 -.14238238 .29621827 .0472133 33618.35 10.422827 .19526292 -.00984688 8.950e-06 -.26653945 -4.1918282
"3M IN Equity" 1 19631  .01864032 .35535035 .0642946 34250.88 10.441468 .19165533 -.14238238  .0000479 -.27874698 -1.3871426
"3M IN Equity" 1 19662  .08495776 .34478139 .0489257 37287.95 10.526425 .17604394  .01864032  .0000255 -.32194414 -2.9282925
end
format %tdnn/dd/CCYY date


ssc inst asreg, replace

xtset stock_id date

cls

asreg MonthlylogReturns Beta Idiosyncraticvolatility LogMC BMratio ShortTermreversal illiq idioskew coskew , fmb newey(2)

I get

Fama-MacBeth Two-Step procedure (Newey SE)       Number of obs     =        32
(Newey-West adj. Std. Err. using lags(2))        Num. time periods =        32
                                                 F(  8,    23)     =      0.55
                                                 Prob > F          =    0.8065
                                                 avg. R-squared    =        .
                                                 Adj. R-squared    =        .
-----------------------------------------------------------------------------------------
                        |              Newey-FMB
      MonthlylogReturns | Coefficient  std. err.      t    P>|t|     [95% conf. interval]
------------------------+----------------------------------------------------------------
                   Beta |          0  (omitted)
Idiosyncraticvolatility |          0  (omitted)
                  LogMC |  -.0001918   .0011705    -0.16   0.871    -.0026131    .0022295
                BMratio |          0  (omitted)
      ShortTermreversal |          0  (omitted)
                  illiq |          0  (omitted)
               idioskew |          0  (omitted)
                 coskew |   .0001398   .0001349     1.04   0.311    -.0001393    .0004189
                   cons |          0  (omitted)
-----------------------------------------------------------------------------------------

[priya sawaliya]

This may be because I can not post here my entire data. only few observation can be imported here. Therefore it showing some variable omitted hen you run this asreg command . Please make me correct if I am wrong.

[Jared Greathouse]

yes, that's likely the case. You may need to talk with Attaullah Shah on this one. This look like a Mata error. priya sawaliya

[Attaullah Shah]

You may email me the dataset and the code you are running. My emails is [email protected]