*生成特质性周收益率
gen w=.
foreach i of Stkcd{
forval j =2005/2020{
qui reg Wkret lWrettmv2 lWrettmv Wrettmv fWrettmv fWrettmv2 if Stkcd==`i' & year== `j'
predict res,residuals
replace w=ln(1+res) if Stkcd==`i' & year== `j'
capture drop res
}
}
cap gen w=.
levelsof Stkcd,local(i) //add
foreach i in `r(levels)'{ //modify
qui forval j =2005/2020{
cap reg Wkret lWrettmv2 lWrettmv Wrettmv fWrettmv fWrettmv2 if Stkcd==`i' & year== `j'
cap predict res,residuals
cap replace w=ln(1+res) if Stkcd==`i' & year== `j'
cap drop res
}
}
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