insufficient number of observations

[MAK]

Hi. I am estimating a conditional CAPM model where I am using the MRP(-1) up (f1) and down (f0) as conditions.

to estimate beta in up, I have

r c mrp equation and the conditioning is f1 which is the lag excess market return i.e. MRP(-1) if it is positive, otherwise zero

to estimate beta in down, I have

r c mrp equation and the condition is f0 which is the lag excess market return i.e. MRP(-1) if it is negative, otherwise zero

with f1, estimates the model but with f0 it gives 'insufficient number of observations' error.

I am using Eviews 9