Code:
forvalues y = 2015/2017 {   // Define a for/next loop spanning years in sample

               forvalues i = 1/45 { // Define a for/next loop spanning the industries in the sample

               capture: reg   INVESTMENT SALESGROWTH    if `y'==Years & `i'==INDUSTRYGROUP , noconstant    // estimate Jones-type regression silently, within ind-year samples

              

               capture: predict resid`++n' if e(sample), residuals   // save residuals in temporary variable named 'residXXX', and increment the local counter

               capture: replace `rname'=resid`n' if e(sample) // update values of permanent variable with residuals estimated in line above

               capture: drop resid`n'  //drop temporary variable

                              } // NEXT INDUSTRY

               } // NEXT YEAR