Store beta coefficient for each firm-year observation

[TramAnh Nguyen]

Hello everyone,

I am new to this forum and grateful for any help. I am trying to save beta coefficients for each firm-year observation using the following code:

statsby , by (GlobalCompanyKey FiscalYear) : regress ROA l.ROA Leverage

However, I get 2 new variables, namely beta_laggedROA and beta_Leverage, containing all missing values.

Is there something wrong with my code?
Please tell me if there is any possible way to get the beta coefficients for each firm-year observation.

Here is the example of my data:

* Example generated by -dataex-. To install: ssc install dataex
clear
input long GlobalCompanyKey int FiscalYear float(ROA Leverage)
1004 1989    .06603247  1.0497235
1004 1990    .03895431   .9607902
1004 1991    .02534457  1.0095407
1004 1993    .02273326  1.2039707
1004 1994    .02457176  1.1601875
1004 1995   .036569934  1.1396438
1004 1996    .04347752   .9668201
1004 1997    .05317504  1.2288815
1004 1998    .05734831   1.228687
1004 1999    .04745357  1.1825192
1004 2000    .02640293  1.0629902
1004 2004   .021104025  1.3264303
1004 2005   .035923906   1.315542
1010 1989    .15727852    5.12465
1010 1991    .08937106   4.067188
1010 1993    .06737955  4.0140133
1010 1994   .013883533  3.5789874
1010 1995    .04181962  3.2464075
1010 1996    .04164788   2.865455
1010 1997   .068022504  3.3659716
1010 1998   .020630583  3.0400996
1010 1999   .021692766    2.93682
1010 2000   .021056794    2.83648
1010 2002   .021525996  3.0641944
1010 2003    .07294965  1.8636254
1012 1989    .04127656   1.409283
1013 1989    .11404356   .3019915
1013 1990    .12607272   .3555774
1013 1991    .08910907   .5606665
1013 1992    .08733106   .3215031
1013 1993    .11296393  .27069703
1013 1994    .11673997   .2641129
1013 1995    .09181095   .1765962
1013 1996     .1137708  .24502406
1013 1997    .11624122   .2470821
1013 1998    .11281598   .4223797
1013 1999     .0523967    .339576
1013 2000    .21863745   .3631682
1013 2004    .01148379  1.1660852
1013 2005    .07211726   .9834604
end

Best regards,
TramAnh Nguyen.

[Roman Mostazir]

The beta has to be firm specific not firm-year specific.

tsset Global Fiscal
statsby _b , by (GlobalCompanyKey) : regress ROA l.ROA Leverage

[TramAnh Nguyen]

Thank you very much for your reply!