bys group: asreg ret btcret, wind (hours 17520)
Variable | Obs Mean Std. Dev. Min Max
-------------+---------------------------------------------------------
_Nobs | 55,984 14057.27 4615.921 3 17508
_R2 | 55,984 .286359 .16784 4.19e-06 .6340864
_adjR2 | 55,984 .2861602 .1681217 -.441666 .6340654
_b_btcret | 55,984 .8394192 .3598068 -1.821103 69.31989
_b_cons | 55,984 .0003909 .0014452 -.2672959 .0135633
. bys group (hours ) : gen dif = hours - hours[_n-1]
(1 missing value generated)
. sum dif
Variable | Obs Mean Std. Dev. Min Max
-------------+---------------------------------------------------------
dif | 56,001 1.101266 1.175469 1 191
Reply To: CAPM with ASREG in Stata using Hourly Data
The following statistics show that there are gaps in your range variable - hours. Due to these gaps, you never achieve the maximum number of observations in your regression. The max goes to 17508. And in some cases, the gap is 191 periods.