Statsby doesn't report results for each line?

[Maher Daoud]

I have market data from 2007 to 2016 and I'm running a regression by Ticker using the following command: statsby, saving(regtest2) by(Ticker): reg rtrn mkt smb hml rf if training==1. The problem is the file that I get with the results only gives me one line per each Ticker where there is the constant, beta1, beta2, beta3 and beta4 (which I assume is the average of all lines?). I would like to get results for every single line meaning for each day starting from 2007 to 2016. I tried the following command without any success: statsby, saving(regtest2) by(Ticker Date): reg rtrn mkt smb hml rf if training==1

Thanks for helping in advance!

[Carlo Lazzaro]

Maher:
I do hope that what follows can give you some clues:

. use "https://www.stata-press.com/data/r17/nlswork.dta"
(National Longitudinal Survey of Young Women, 14-24 years old in 1968)

. statsby, by( year age): reg ln_wage tenure
(running regress on estimation sample)

      Command: regress ln_wage tenure
           By: year age

Statsby groups
----+--- 1 ---+--- 2 ---+--- 3 ---+--- 4 ---+--- 5 
(24 missing values generated)
.x................................................    50
..........................xx......................   100
....x..........................x............xx....   150
.........x............xx............x.............   200

. list in 1/20

     +-----------------------------------+
     | year   age   _b_tenure    _b_cons |
     |-----------------------------------|
  1. |   68    14     4.53546   .3177595 |
  2. |   68    15           .          . |
  3. |   68    16    2.016721   .6480181 |
  4. |   68    17    .2792446   .8678428 |
  5. |   68    18    .3790007   1.198386 |
     |-----------------------------------|
  6. |   68    19    .1088333   1.315427 |
  7. |   68    20    .0642107   1.368799 |
  8. |   68    21    .0037639   1.495861 |
  9. |   68    22    .0234223   1.533701 |
 10. |   68    23    .0601063   1.525884 |
     |-----------------------------------|
 11. |   68    24    .0110897   1.526417 |
 12. |   68    25   -.0016319   1.532955 |
 13. |   68    26     -.51025   1.979264 |
 14. |   69    16   -.9236087   1.599697 |
 15. |   69    17   -.2464722   1.313209 |
     |-----------------------------------|
 16. |   69    18    .0763398   1.278549 |
 17. |   69    19    .0106208   1.419504 |
 18. |   69    20    .0796572   1.419729 |
 19. |   69    21    .0571575    1.49037 |
 20. |   69    22     .143016   1.463004 |
     +-----------------------------------+

.

[Maher Daoud]

Thank you for your response Carlo. When I run the same command I get xs showing up everywhere and I'm not really sure why. I've got to investigate it further. Thanks again!