楼主好，试试：
clear
set obs 12
gen date = ""
replace date = "2014m3" in 1
replace date = "2014m4" in 2
replace date = "2015m1" in 3
replace date = "2015m2" in 4
replace date = "2015m3" in 5
replace date = "2015m4" in 6
replace date = "2015m5" in 7
replace date = "2015m6" in 8
replace date = "2015m7" in 9
replace date = "2015m8" in 10
replace date = "2015m9" in 11
replace date = "2015m10" in 12

split date, parse(m) generate(newv)
rename newv2 month
destring month, replace
drop newv1
qui tab month,         gen(dmonth)        // 生成月份虚拟变量

供参考，祝好！

感谢！ 我用gen month=month(date)生成了月份，不过你说的这个虚拟变量的生成方法好简洁，学习了！