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Sorry, I have not made myself clear. You are right, I am using the index values but using year-to-year percent change for monthly data. Thanks for answering my question on the overlapping variables, I do not think I have overlapping data since all my variables are monthly; the only one I had to adju...

Thank you very much Gareth and Startz However, I feel dumb asking but are overlapping observations simply when the dependent variable is available for every period and the regressors as well? Here is my equation without AR(1) INDEX_SP500 = -0.0667205076021*UIC + 2.36212979571*RETAIL + 1.39401734926*...

Hello, I am fairly new to EViews and econometrics; I therefore apologize if I sound ignorant. I intend to do a research on the relationship between macroeconomic factors and stock returns. My dependent variable will be the returns on the S&P 500 and my independent variables will be the industria...