gen betaa=.       //生成一个变量存储回归系数，这个存储自变量A的回归系数，下面类推
gen betab=.
gen betac=.
gen betad=.
gen betae=.
local i=1
foreach y of varlist Y1-Y500 {
reg `y' A B C D E
replace betaa=_b[A] in `i'
replace betab=_b[B] in `i'
replace betac=_b[C] in `i'
replace betad=_b[D] in `i'
replace betae=_b[E] in `i'
local i=`i'+1
}

要用foreach

您好。很感谢您的精彩回复，但是我还是遇到几个问题，我采用你的程序进行回归时，总是出现几个错误。我的代码是：
gen betamkt=.   
gen betasmb=.  
Gen betahml=.
local i=1
foreach y of varlist y1-y500 {
reg `y' mkt smb hml
replace betamkt=_b[mkt] in `i'
replace betasmb=_b[smb] in `i'
replace betahml=_b[hml] in `i'
local i=`i'+1
}
这种情况下，就会出现
beta ambiguous abbreviation

如果采用以下程序
gen betamkt=.   
local i=1
foreach y of varlist y1-y500 {
reg `y' mkt
replace betamkt=_b[mkt] in `i'
local i=`i'+1
}
就是出现　　
Obs. nos. out of range
r(198);

能否帮忙指导下呢

应该可以啊，你qq多少？