Fama Macbeth regression help

#1
Dear reader,

We are stuck with performing a Fama Macbeth regression in STATA. The following sums up our steps, and where we got stuck. Please see the attachment for our dataset.

When we import this in STATA and make sure that those are all numeric variables. Then we use the following command:

ssc install xtfmb

tsset Ranking Month

xtfmb Return VIXClose MktRF

When we tsset our data STATA indicates our data has gaps, but we are unable to find them. We also used tsfill, full. Then the data has no gaps but it still omits VIXClose and MktRF. After that STATA does run the FM regression, but it omits VIXClose and MktRF. We've been searching all weekend for an answer and presumably it has to do with the fact that those variables are stable over each year. So in 200001 for example VIXClose is the same for every portfolio. So the remaining question is how to enter these variables so that STATA does run the FM regression.

We hope you can help us, thank you for your time.

Daniel