*** first need to turn data into time series by year month 
drop if id == . 
egen year_month_num = group(yrmo)
egen id = short_name
tsset id year_month_num 
gen lag_returns_a = L.returns_a 
gen lag_vwret = L.vwret

reg beta_log_fwd      bhck7204_inv


xtserial beta_log_fwd      bhck7204_inv

by id, sort: lomackinlay returns_a if year>= 2002 & year <= 2007, q(2) 

by id, sort: lomackinlay returns_a if year>= 2010 & year <= 2015, q(2) 

xtserial returns_a if year>= 2002 & year <= 2007

xtserial returns_a if year>= 2010 & year <= 2015