Help needed for thesis

[jgcaap]

Hello guys. I'm doing a thesis on the september effect, still I need to study all the months in the financial markets. I just need 1 example to know how to do to different markets.

The return is calculated with LN(Pt/Pt-1).



When i tried to estimate I have a regression with dummies I use return c @expand(@month,@droplast) with an OLS regression.

This basically leads me to results with Autocorrelation and Heterostatic

My problem is what do I need to do to solve this and make this usefull for my thesis ?

If someone could help me on this would be great... I kind of am lost :\