"No Observations"

Hi, I was hoping someone might be able to help solve this problem. The values are all formatted as numeric.

I'm regressing news announcements on exchange rate returns and when I
regress a news variable on its own, typing:

"reg ret ur"

Where ret = returns and ur =unemployment rate news I get a fine output. When I include lags of the unemployment rate in the regression:

reg ret ur ur1 ur2 ur3 ur4

I get the response "No Observations r(2000);"

I can't see why its giving me this output. There are (.)s for most of the
values as in a sample of 225000+ exchange rate measurements there are only a maximum of 36 observations of news. This may help diagnosing the problem. Any help with this would be much appreciated.