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  • Running regression by group and year

    I would like to run a regression by group and year on a weekly data basis. The regression equation looks as follows:
    zi,t =αi +βi,yzm,t +εi,t ∀i,t∈y
    Is there a Stata command which can run such a regression? Many thanks for your help.

    Code:
    * Example generated by -dataex-. To install: ssc install dataex
    clear
    input int date double(Zmt SMB HML RF) long stock float(return Zit) double _b_Zmt float z_excess double(v1 v0 reg_nobs reg_r2 reg_adj_r2 b_Zmt b_cons se_Zmt se_cons)
    10962  -.23  1.26  -.86 .141 1          .          .                  . .467211                 .                  .  .                  .                  .                  .                    .                  .                  .
    10969 -3.56   .52   .65 .141 1  -8.608311 -8.7493105 1.0846589648574492 .467211 .2062084003737894 .07916577681750825  .                  .                  .                  .                    .                  .                  .
    10976  -.47  -.37  -.31 .141 1  -.7245492  -.8655491 1.0846589648574492 .467211 .2062084003737894 .07916577681750825  1                  .                  .                  .                    .                  .                  .
    10983 -4.21   -.3    .9 .141 1 -4.3790236 -4.5200233 1.0846589648574492 .467211 .2062084003737894 .07916577681750825  2                  .                  .                  .                    .                  .                  .
    10990  1.22 -1.69   -.1 .142 1  4.5795636  4.4375634 1.0846589648574492 .467211 .2062084003737894 .07916577681750825  3  .5562423445706656 .11248468914133114 1.4725446576905599   -.6670383357251168 1.3152532394733991  4.201858443708239
    10997  1.06   .68  -.42 .142 1          0      -.142 1.0846589648574492 .467211 .2062084003737894 .07916577681750825  4  .8176214921434165  .7264322382151247 1.9699237007057318   1.0328862029376782   .657877581452515 1.8638671560288946
    11004  -.32   .05   .61 .142 1 -1.1398581  -1.281858 1.0846589648574492 .467211 .2062084003737894 .07916577681750825  5  .7595976986432915  .6794635981910554 1.6886632991516553   .04502273821823666  .5484789033737867  1.413982442458092
    11011 -2.48   .64  1.29 .142 1  -1.480652  -1.622652 1.0846589648574492 .467211 .2062084003737894 .07916577681750825  6  .7554441220112734  .6943051525140918 1.6673056390605117  -.10841637418977879  .4743218192015768 1.1179816594570264
    11018  3.16 -1.46  -.68 .161 1  1.5029048  1.3419048 1.0846589648574492 .467211 .2062084003737894 .07916577681750825  7  .6994928473280394  .6393914167936473 1.5544165940892034    .1246942530227173 .45563616677322655 1.0821225352441541
    11025   .77  1.03 -1.31 .161 1   9.261333   9.100333 1.0846589648574492 .467211 .2062084003737894 .07916577681750825  8    .65428321595895  .5966637519521083 1.2413094063700665   -.5563240197478734  .3683678875413112  .9160165825722576
    11032   .83   .08  -.89 .161 1   9.151989   8.990989 1.0846589648574492 .467211 .2062084003737894 .07916577681750825  9  .5059225115112344  .4353400131556965 1.4808113496641493    .5389696887809596  .5531032949433414 1.3044836949424323
    11039 -1.41   .95  -.56 .161 1   4.966093   4.805093 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 10  .4800012413172828   .415001396481943 1.6615657446186558   1.3335660090009696  .6114381179279458 1.3774440140006607
    11046   .51  -.42   .28 .161 1   -4.73114   -4.89214 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 11 .40598047445705865  .3399783049522873 1.5549600651131572   1.8097113047471711  .6269685726942935  1.372824316327695
    11053  -.25  -.76 -1.13 .171 1  -.9320118 -1.1030118 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 12 .31108325136786025  .2421915765046463 1.4199983721067686   1.1300285426356882   .668240669340264 1.4043524557278175
    11060  1.05  -.93 -1.12 .171 1    8.46351    8.29251 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 13   .306531232012606 .24348861674102484 1.4146186023986567    .9834326495473702  .6415331609572886 1.2960960747629622
    11067 -2.69   .99   .26 .171 1  -6.935724  -7.106724 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 14  .3309548147789485  .2752010493438609  1.562276256880402   1.4426558091161565  .6412252011715216 1.2612521784139763
    11074 -1.92   .45   .01 .171 1 -2.7960355 -2.9670355 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 15 .38602063918537866   .338791457584254 1.7290163831115892   1.2283430753562563  .6047822768673906  1.223595765610866
    11081  2.48 -1.26  -.96 .169 1  2.2360559   2.067056 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 16  .3990096850025476  .3560818053598723  1.748978099085202    1.184480537503161  .5736703068968042  1.157038577311642
    11088  3.46 -2.26  -.08 .169 1    6.56145    6.39245 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 17 .38198998907777093  .3407893216829556 1.6063573116462107    .9289853734824951  .5275556629443012 1.0799318121447334
    11095   .86   .47  -.97 .169 1  -6.745263  -6.914263 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 18  .4247014810353481  .3887453236000573 1.6022304901222506    .9230985339494222 .46619728602653815  1.002345246007991
    11102   .26  1.07 -1.57 .169 1  2.1727648  2.0037649 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 19  .3380082680675455 .29906757795387173 1.4965484024016644      .42745996597866  .5079593136762488  1.067720454967341
    11109     2  -.88  -.52 .156 1   .6169435  .46094355 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 20  .3389730059415425   .302249284049406 1.5013960282227772    .4872200109678769 .49418100727356096 1.0128643315177843
    11116    -1   .76   .91 .156 1  -6.135032  -6.291032 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 21 .32405357369896104 .28847744599890635 1.4331349026543756     .344116338415827   .474851706405162  .9721391408279789
    11123   .86   .18 -1.65 .156 1   3.266185   3.110185 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 22  .3291629670258911  .2956211153771856 1.4898598092192987   .10933713110697302   .475590791823236   .956655125528706
    11130 -1.94   .54  -.38 .156 1   5.064141   4.908141 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 23  .3343263736795816  .3026276295690855 1.5061614630054982     .183952141193978  .4637749001600706  .9161643196571707
    11137   .46  -.01 -1.01 .156 1   7.833838   7.677838 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 24 .27135565391935357 .23823545637023336 1.3532359371131057    .4915180192528231  .4727706903308126  .9332427365135828
    11144  -.05   -.5  -.71 .169 1          0      -.169 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 25 .26529458792652055 .23335087435810842 1.3890312694633355    .7558896740697539  .4819927756590511  .9332779205120371
    11151  2.04  -.81 -1.61 .169 1  4.4667645  4.2977643 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 26  .2650188738074025 .23439466021604427  1.389024244188169    .7229878516189314 .47217598670497357  .8965272224231567
    11158 -1.76  -.34    .5 .169 1 -12.298826 -12.467826 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 27  .2778281100961858 .24894123450003325 1.4042703245069041    .7500319187932928 .45280677006001574  .8622047230179269
    11165 -2.48  -.08  1.19 .169 1   .9158382   .7468382 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 28 .29448317974014854  .2673479174224619  1.587665640556315   .37304581491625166 .48194314936563365  .9152942037070668
    11172 -2.93 -2.59  1.52 .164 1  -.3036335  -.4676335 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 29 .27498896569987574 .24813670517024156  1.492379502958457    .5101422280656376  .4663500932517893  .8963841311263324
    11179 -2.65   .33  -.47 .164 1  -6.060709  -6.224709 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 30 .26348118107138424 .23717693753821922 1.4117683187224757    .6059740311151873 .44606848311228064  .8761111301495651
    11186 -2.59   -.9    .6 .164 1  -5.806916  -5.970916 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 31  .2872856759039854  .2627093199006746  1.472397293940918    .5241103901751323  .4306522980363926   .856952346916266
    11193 -5.45 -2.41  2.01 .164 1  -2.447606  -2.611606 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 32  .3071393439294829  .2840439887271323 1.5200500885512973     .457721124516303  .4168237878490001  .8383823390797411
    11200  3.55   .26 -1.57 .164 1  4.2261252   4.062125 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 33 .28843992922367356 .26548637855346946 1.3489256753313148    .5268688073300338 .38052681738608163  .8356916882374474
    11207   .14  -.15   .03 .149 1 -1.6888587 -1.8378588 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 34  .2998500431644565  .2779703570133458 1.3191616748566903    .4781063804120133   .356341588443538  .8009252545327964
    11214 -1.98   .22   .03 .149 1  -6.530972  -6.679972 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 35  .2958350318499711 .27449669948178845 1.3112928674687931    .4036354298297603 .35217225358398335  .7802087678230276
    11221 -2.11 -1.09     1 .149 1  -7.351617  -7.500617 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 36 .30607617172478807 .28566664736375247 1.3524631361488542   .29663570756713536   .349242523758241  .7715526718628885
    11228 -2.27  -2.8   -.3 .149 1  -7.934965  -8.083965 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 37 .31717145469097946  .2976620676821503 1.3995265432142048    .1853366979009321  .3471010317311253  .7659112410924686
    11235  1.44 -1.67  -.05  .17 1  -3.450427  -3.620427 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 38 .32939922520654713  .3107714259067291  1.450417595657265   .07785709270563368  .3449153703575939   .761671931112994
    11242 -4.11 -1.27  1.67  .17 1   .8946767   .7246767 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 39  .3060509364647615 .28729555636921444 1.3885424146327388  -.09966938517963475 .34373616628793624  .7534536008919221
    11249  3.44  -2.4 -1.99  .17 1  11.059658  10.889658 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 40  .2729770728270678 .25384489053304315 1.2676235603003312 -.004344396865344269  .3355903556397007   .758378146205359
    11256 -2.13   .93  -.25  .17 1 -4.3825407  -4.552541 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 41  .3182671997340143 .30078687152206596 1.3906969410072683   .21216034685015456   .325920253332771  .7482629469654478
    11263  1.86 -2.64   .55 .141 1   5.835962   5.694963 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 42  .3246614705246674 .30777800728778404 1.4046549150524787    .1762787675386942  .3203207227557372  .7341870955078593
    11270   .87  -.13  -.33 .141 1  11.808538   11.66754 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 43 .33800727915806955 .32186111523509553 1.4358025836337063    .2578482343362075  .3138097136416844  .7164021194495169
    11277  1.41  1.04  -.54 .141 1   -.717422   -.858422 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 44  .3338229052257751  .3179615458263888 1.4961244913529814    .5140500102255076  .3261218287785852  .7372425736096561
    11284  -.73   .52  -.65 .141 1   3.557749   3.416749 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 45  .3260528276301097 .31037963757499587 1.4678701163705872    .4259793539962173 .32182690117805907  .7225774855505802
    11291  2.24    .2 -1.33 .141 1  1.0295126   .8885127 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 46 .32071275722777776 .30527441080113626 1.4615348537004347    .5118445888853541  .3206649185963889  .7129357355203958
    11298  1.98   .97   -.1 .149 1  15.647645  15.498645 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 47 .31568953992579935  .3004826408130393 1.4287711984570146   .43938369697985613 .31358329795042145  .6973029387761304
    11305  -.36   -.2  -.76 .149 1  -6.174531  -6.323532 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 48 .32650792601301454  .3118667939698192 1.5477643080179306    .7277474649449904  .3277519558554112  .7272349268492915
    11312  1.22 -1.08   .02 .149 1  12.852174  12.703174 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 49  .3193913453775639  .3049103101728312 1.5498961677314598    .5958198916450821  .3300204386592198  .7249564286206538
    11319  -.84   .28  -.14 .149 1 -4.4444447  -4.593445 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 50 .32132534827612846 .30718629303188116 1.6140358555294467     .816415324892905  .3385718764370938  .7385800951747762
    11326 -2.04  1.76  1.76 .129 1    .580589    .451589 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 51  .3216094832909926 .30776477886835973 1.6239511963069284    .7395522930663292 .33693831095774135  .7288531252640771
    11333 -1.93     0  -.35 .129 1  8.6713915   8.542392 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .31702115572509854  .3033615788396006  1.601840465040345    .7911071807047121  .3325016168536086  .7184902888332286
    11340  4.68 -3.28 -1.92 .129 1   6.914156   6.785156 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52  .2602193193503835 .24542370573739114 1.4686224902461482    1.037741333081806 .35019254540346856  .7426424363363143
    11347   1.7  3.32  -.81 .129 1   6.467016   6.338016 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52  .2734631033214002 .25893236538782827 1.4456989588475164    1.035549611732657  .3332516699501243  .7387512662862565
    11354   2.7  3.76  -.75 .119 1  4.2050138   4.086014 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52  .2697116963916705  .2551059303195039  1.475625074464447     1.08170050565865 .34339052392441505  .7388019237316314
    11361  4.69  -.47  -.26 .119 1    7.39893    7.27993 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52  .2697082019081023 .25510236594626434 1.4569156850105993   1.0324412597558623  .3390396971606899  .7381795510654438
    11368  2.66  1.05   .02 .119 1  -3.555792  -3.674792 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .28704964519587883  .2727906380997964 1.4570812809787472   1.0734596299065957 .32475056419232146  .7363951427052945
    11375  -.74  1.14 -1.09 .119 1  3.6868906   3.567891 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52  .2590818473251956 .24426348427169953 1.3735669541746316    .9523232523191522 .32849703710989414  .7545413742714099
    11382  1.36   .69   .36  .11 1  -3.347309  -3.457309 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .25223864354370285 .23728341641457684 1.3698312698648147   1.0066797223427997  .3335475625402904  .7582787431580746
    11389  1.56  2.77 -1.29  .11 1  12.553926  12.443926 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52  .2482120787272021 .23317632030174607  1.386156395174666     .960184426836791  .3411641957148793  .7637639334444568
    11396  -.72 -1.12    .9  .11 1   1.922831   1.812831 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .25399079387105167 .23907060974847272 1.4199183620018192     .999562222777719  .3441450117016319  .7731530884780345
    11403  -1.3  1.53  -.05  .11 1 -4.5273166 -4.6373167 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .25276985628790816 .23782525341366634 1.3948899765284926    .9059630071855562  .3391716172393198  .7617323585377661
    11410  2.23   .78  -.61  .11 1   7.507987   7.397987 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .26999159971886966  .2553914317132471 1.4482251254015226    .7168016723576041  .3367750260596929  .7559200063122447
    11417   .52  1.67  -.83 .133 1  2.0232449   1.890245 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .28756032715847174  .2733115337016411 1.4849251259945553    .9008504912259099 .33054387720874034  .7485771939114154
    11424  1.06  -.09   .22 .133 1   3.423578   3.290578 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .28738358349835974  .2731312551683269 1.4828789117266963     .936700257398548  .3302308332917132  .7481596869239909
    11431    .8  -.49  1.17 .133 1 -16.898474 -17.031473 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .28740760738690135 .27315575953463944 1.4656465573662518    .8425471441139902 .32637411805253663  .7394512714055635
    11438 -1.53   .14   .06 .133 1  -1.678312  -1.811312 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .21784974311633948 .20220673797866628  1.376655709109219    .5712884527120858 .36889851591127537  .8254054752847757
    11445   .28  -.58   .31 .118 1  -16.41798  -16.53598 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .21555624091526973  .1998673657335751 1.3711025792588576    .5843519417369932   .369901038898902   .825507010136104
    11452 -1.04  1.22  -.26 .118 1   4.592961   4.474961 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .18924516577532047 .17303006909082685  1.380882646586374    .2829750325842228  .4042072938406426  .8914307713773894
    11459 -1.23 -1.09    .6 .118 1  -8.293724  -8.411724 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .17158208732034846 .15501372906675537 1.3361680855529146   .36920266467172347 .41520718415688707  .8957587493969181
    11466  1.45  -.21  -.63 .118 1 -2.1291633 -2.2471633 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .18789055704631663 .17164836818724294  1.402002592331469   .39145031837245536 .41221008954010846  .8907124664536424
    11473     3  -.43   .19 .118 1   2.452308   2.334308 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .18169630991495106 .16533023611325015 1.3745169149576755   .27935640741393397 .41252406410690134  .8951185410879016
    11480 -2.21  1.82  1.27 .104 1 -1.8620224 -1.9660224 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .18382755018590033 .16750410118961834 1.3700593486409123   .28931737671550395  .4082630201770764  .8948727316924955
    11487   .33 -1.29  -.28 .104 1 -10.839443 -10.943443 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .18190006214016868 .16553806338297206  1.341377168336461     .406069739585657 .40230243745854183  .8886359789995926
    11494 -1.33  -.21   .35 .104 1  2.1280167  2.0240166 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52  .1685707094370112 .15194212362575144 1.3233087634778098    .1503654297190465  .4156212931433285  .9169138824754637
    11501 -1.79  -.26  -.04 .104 1 -1.1897328 -1.2937328 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .17829062105788934  .1618564334790472 1.3615796025678293   .07705237751353264  .4133832807891307   .908375527338453
    11508   .64 -1.04  -.65 .122 1   9.938467   9.816467 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52  .1791901046527299  .1627739067457845 1.3418453875150669  -.03621797574655257 .40614560284290047  .8977738433001429
    11515  1.74   .38  -.75 .122 1   2.465737   2.343737 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52  .1786300933682586  .1622026952356238 1.3633595458072492    .1373430110662348  .4134447504857537  .9146402682049697
    11522   .99    .5   .81 .122 1 -1.6032833 -1.7252833 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .17552346739506183 .15903393674296307  1.351266427847809   .10793342458099534 .41416895214068095  .9141987164473281
    11529  -.99  -.34   .51 .122 1 -2.4456115 -2.5676115 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .16208304331300216 .14532470417926224 1.2650477249417142   .24977468793987573 .40677439339302895  .8941166162688391
    11536   1.7  -.03 -1.42 .115 1  11.421102  11.306102 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .16956488153683003 .15295617916756665 1.3103331899062614    .1449621445937729  .4100923212359633  .8920862167745041
    11543   .17   .28  -.01 .115 1  1.4990475  1.3840475 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52  .1817557405877646  .1653908553995198 1.4090192719792134    .2354093592256457   .422794516828445  .9090125601304525
    11550   -.2   .54   .65 .115 1   4.925746   4.810747 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .16992142327497348  .1533198517404729  1.374352214488602    .3139794899023825 .42958447577993775  .9100756926812285
    11557  1.85  -.57  -.48 .115 1 -.23329963  -.3482996 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52  .1549789698415717 .13807854923840313 1.3283033802175999     .471771647968522  .4386414307860141  .9158912095860582
    11564   .48   .96  -.69 .115 1          0      -.115 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .15521888418058288 .13832326186419452 1.4323680489666788   .28343520368566366  .4725735850993058  .9277902070690875
    11571  -1.7   .58   .15 .114 1  -2.829527  -2.943527 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .15235566018292532  .1354027733865838 1.4546899339085182    .2792527525037102 .48524712164193895  .9228004125466511
    11578 -1.27   .92  -.54 .114 1  -5.583186  -5.697186 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .15668340472411488 .13981707281859723 1.4604389027916151   .30749894700751057  .4791618291876259  .9181557906118267
    11585   1.3   .19 -1.05 .114 1  4.1149817   4.000982 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .15188308385231206  .1349207455293583  1.444948743948617    .3119630280880542  .4828815355682323  .9196750600099707
    11592  -.45  -.19   .44 .114 1  -3.212469  -3.326469 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .13896382375808145 .12174310023324308 1.3857039510985543    .4633321075806415  .4878039071587997  .9222225797580715
    11599 -1.06   .48  -.01 .106 1  -1.528863  -1.634863 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .12397542259303887 .10645493104489956 1.3160001867699753    .5381050148840409  .4947220818226894  .9227617629724024
    11606  -.28  -.51   .08 .106 1    .516582    .410582 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52   .134024668977042 .11670516235658279  1.359139007676395    .6219625207950472 .48858402558905595  .9089170632719362
    11613  2.99   .51  -.28 .106 1  13.404696  13.298697 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .14999757920742568 .13299753079157428 1.5311677954493839    .4329779456430751  .5154727839359768   .913042973751249
    11620 -2.19   .33   .23 .106 1   -6.82023   -6.92623 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .15135437920633144 .13438146679045804 1.5679246180453505    .4751743645665092   .525056293645824    .92173381284318
    11627  2.07   .38  -.77 .098 1    -.48635    -.58435 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52  .1576460519318204 .14079897297045674 1.6093441728600186   .41179675198938714  .5261016794037154  .9243155966444677
    11634    .6   .14   -.1 .098 1  4.4120426  4.3140426 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .14642756966556275 .12935612105887406 1.5420251943708374    .3165697666067875  .5265204330978012  .9274264332412231
    11641 -2.55   .13    .2 .098 1   -6.10308   -6.20108 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52  .1480381462705899 .13099890919600166 1.5179302680479645    .1945015661245626  .5149796582041829   .905981765618041
    11648 -1.74  -.47 -1.29 .098 1   2.734859   2.636859 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .16679140784137758  .1501272359982051 1.5857805622948713   .18059265193941065  .5012427692391268  .8940971091212436
    11655  -.25  -.42  -.53 .098 1   -.975819  -1.073819 1.0846589648574492 .467211 .2062084003737894 .07916577681750825 52 .16234164503869025 .14558847793946406 1.5473351597925264   .21081252994496358 .49707037801937876  .8933140127976661
    end
    format %tdnn/dd/CCYY date
    label values stock stock1
    label def stock1 1 "RKML", modify

  • #2
    If you are looking for fitting an OLS regression over groups, then you may use asreg for this.
    Code:
    ssc install asreg
    gen year = year(date)
    
    bys stock year : asreg Zit Zmt
    You can read more on asreg here https://fintechprofessor.com/stata-p...ions-in-stata/
    Regards
    --------------------------------------------------
    Attaullah Shah, PhD.
    Professor of Finance, Institute of Management Sciences Peshawar, Pakistan
    FinTechProfessor.com
    https://asdocx.com
    Check out my asdoc program, which sends outputs to MS Word.
    For more flexibility, consider using asdocx which can send Stata outputs to MS Word, Excel, LaTeX, or HTML.

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