试试：
clear
input stkcd str10 dbgn str10 dend
1 2005-5-9 2005-12-31
1 2005-5-9 2006-12-31
1 2005-5-9 2007-12-31
1 2005-7-31 2005-12-31
1 2005-7-31 2006-12-31
1 2005-7-31 2007-12-31
1 2005-8-19 2005-12-31
1 2005-8-19 2006-12-31
1 2005-8-19 2007-12-31
1 2005-9-29 2005-12-31
1 2005-9-29 2006-12-31
1 2005-11-1 2005-12-31
2 2005-11-1 2006-12-31
2 2005-11-1 2007-12-31
2 2005-11-6 2006-12-31
2 2005-11-6 2007-12-31
2 2005-11-6 2008-12-31
2 2006-1-11 2006-12-31
2 2006-2-22 2006-12-31
2 2006-3-8 2006-12-31
2 2006-4-4 2006-12-31
3 2006-4-4 2007-12-31
3 2006-4-4 2008-12-31
3 2006-4-10 2006-12-31
3 2006-4-10 2007-12-31
3 2006-4-19 2006-12-31
3 2006-4-19 2007-12-31
3 2006-4-27 2006-12-31
4 2006-4-27 2007-12-31
4 2006-4-27 2008-12-31
4 2006-5-28 2006-12-31
4 2006-5-28 2007-12-31
4 2006-5-30 2006-12-31
4 2006-5-30 2007-12-31
4 2006-6-12 2006-12-31
4 2006-6-12 2007-12-31
4 2006-6-12 2008-12-31
4 2006-6-15 2006-12-31
4 2006-6-15 2007-12-31
end

gen db = date(dbgn, "YMD")
format db %td
gen de = date(dend, "YMD")
format de %td
gen yb = year(db)
gen ye=year(de)

sort stkcd
forval i = 2005/2009 {
        by stkcd: egen n_`i' = total(cond(`i'>=yb & `i' <=ye), 1, 0)
}

学习了。谢谢上面的楼主

*设begin与end都是字符型变量
forv i=2005/2009{
g  y`i'=(real(substr(begin,1,4))<=`i')&(real(substr(end,1,4))>=`i')
}
collapse (sum) y2005-y2009,by(id)

用collapse很巧妙啊，学习啦。