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oh and sorry my definition of return would be (logPt - logPt-T) T being the time period (horizon)

My apologies for being so vague. By one-month return as my dependent variable I was referring to using returns of only say January (month01) and by multiperiod returns as my independent variable I was referring to using aggregated returns in all months in the aggregation interval e.g. intervals rang...

Sorry to bother you once again and hopefully this should be the last question I will need to ask you in order to complete all of my long horizon regressions. I would like to use one-month returns as my dependent variable and lagged multiperiod returns as the independent variable. As previously menti...

Hi there, As previously mentioned I am conducting long horizon regressions to test the predictability of stock markets, however I am a total EViews Novice. I have now run my regressions but was wondering if you could quickly clear up something for me. How can I tell whether there is positive or nega...

I just want to thank you very much for your fast and extremely helpful replies.
I will no doubt be back asking more questions in the not so distant future and I just want you to know that your help is very valuable and appreciated.

Thanks
Tom

I'm terribly sorry that I'm such a eviews newbie, so would 'p' be my series of the monthly stock market prices? and what would X be here?
Thank you once again for your first reply and thanks in advance for any more help.

Tom

Hi there, I currently have 575 monthly observations of the FTSE All Share Price dating back to 1965, along with corresponding dividend yeilds and dividend index. I wish to use long horizon regression analysis to test the predictability of the stock market. I would like to regress real returns on lag...

Hi there, I currently have 575 monthly observations of the FTSE All Share Price, along with corresponding dividend yeilds and dividend index. I wish to use long horizon regression analysis to test the predictability of the stock market. I literally have no idea where to begin and any advice would be...