Selective numbering of equations with align

Just add \notag to the lines you don't want numbered.

But if you are using fleqn, you don't need align, you can use gather instead (the \notag works the same) and remove the &s:

\documentclass[a5paper,11pt]{article}
\usepackage[fleqn]{amsmath}
\usepackage{amsfonts}
\begin{document}

\begin{gather}
R_{i,t} = \alpha_i \notag \\
R_{i,t} = \beta_i \notag \\
R_{i,t} = \gamma_i \notag \\
\mathbb{E}[\epsilon_{it}]=0;\textrm{   } \textrm{Var}[\epsilon_{it}]=\sigma^2_{\epsilon_{i}}\\
i \in \{1,2,...,N\};\textrm{   } t \in \{1,2,...,T\}
\end{gather}

\end{document}

(You probably wanted the other lines numbered).

Rather than choosing which rows to enumerate you could let mathtools enumerate only the equations you reference.

\documentclass{article} 

\usepackage{mathtools}

\mathtoolsset{showonlyrefs}

\begin{document}
    \begin{align}
        a = b \\      
        b = c \label{eq:unused} \\      
        c = d \label{eq:used} % Only this row will be enumerated as it's the
                              % only row that is referenced to.
    \end{align}

    Here I will make a reference to the eq:used label \eqref{eq:used} 
    % Be sure to use \eqref and not \ref instead.
\end{document}

This answer was first given by https://tex.stackexchange.com/users/5701/n-n in a duplicated question. I think this solution is very elegant and very useful. Why would you want to enumerate unused stuff?