st: Problem with Fama-Macbeth regression

[Jeronimo Perez Aleman <jperez@defc.ulpgc.es>]

I'm trying to run the Fama-Macbeth regression(F-M style, see fmJ.ado in
http://www.bus.umich.edu/Academics/Departments/Accounting/nhafzall/default.htm).
I use stata 8.2 (updated). The message is:
time-series operators not allowed.
I do understand anything.
Could anybody help me?
Thanks
Jeronimo Perez
University of Las Palmas de Gran Canaria (Spain)


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