I have quite a complicated question.

I have a sample of returns for 68 countries from 1/1/2002 to 31/12/2005.

I've written a program to generate an equation for these countries

*for %r land1 land2 land3 land5 land6 land7 land8 land9 land10 land11 land13 land14 land15 land16 land17 land18 land19 land20 land21 land22 land23 land24 land25 land26 land27 land28 land29 land30 land31 land32 land33 land34 land35 land36 land37 land38 land39 land40 land41 land42 land43 land44 land45 land46 land47 land48 land49 land50 land51 land52 land53 land54 land55 land56 land57 land58 land59 land60 land61 land62 land63 land64 land65 land66 land67 land68*

equation eq{%r}.arch {%r} c rwmp rwmp(-1) rwmp(-2) rwmp(-3) rwmp(-4) rwmp(-5) rhml rhml(-1) rhml(-2) rhml(-3) rhml(-4) rhml(-5) rsmb rsmb(-1) rsmb(-2) rsmb(-3) rsmb(-4) rsmb(-5) {%r}(-1) {%r}(-2) {%r}(-3) {%r}(-4) {%r}(-5) year2003 year2004 year2005 month2 month3 month4 month5 month6 month7 month8 month9 month10 month11 month12 day2 day3 day4 day5

...

next

equation eq{%r}.arch {%r} c rwmp rwmp(-1) rwmp(-2) rwmp(-3) rwmp(-4) rwmp(-5) rhml rhml(-1) rhml(-2) rhml(-3) rhml(-4) rhml(-5) rsmb rsmb(-1) rsmb(-2) rsmb(-3) rsmb(-4) rsmb(-5) {%r}(-1) {%r}(-2) {%r}(-3) {%r}(-4) {%r}(-5) year2003 year2004 year2005 month2 month3 month4 month5 month6 month7 month8 month9 month10 month11 month12 day2 day3 day4 day5

...

next

Don't worry too much about the equation, but what I would like to do now, is to make a static forecast for the expected returns on March 11, 2004(attack in Madrid), based on the known returns from t=-230 until t=-30 (a month before the attack). Then, based on the known return on March,11 and the expected return, I can calculate the AR on March 11,2004. Can somebody help me? Should I adjust the sample before I run the program? What steps should I take? I am sorry for the complicated question, I can upload the files if that could help.

Tnx!