Holiday effects and Day of the week effects

[edwardyiu]

Hi, all EView experts,

I am a new user of the EView8 and I need to do the holiday effects and day of the weeks effect of HSI of Hong Kong for the ten years from 2003 to 2012. I have transformed my working file from excel file to a wf1 file as attached. I am not sure whether this is done correctly. Anyway, the daily stock returns is computed as ln(Rt/Rt-1)*100 and Monday is denoted as 2, Tuesday is denoted as 3 and so on in the file "weekday". The pre-holidays are denoted as -1, -2, ... and post-holidays are denoted as 1,2,.. and so on in the file "CNY" and "Christmas"

For the day of week effects, I would like to do a linear regression to prove whether there exists a day of week effect and assuming
Rw = C + x1(Rmonday) + x2(Rtuesday) +x3(Rwednesday) + x4(Rthursday) + x5(Rfriday) + e
So, how can I perform and add the commands in the EView and generate the analyses as required?

Similarly, I need to do the same analyses for the holidays effect and I assume that this will be done in the same way as day of the weeks effect as requested above. Please correct me if I am wrong.

Please advise me the way to handle the above and thank you for your help.

Best Regards,
Edward Yiu

[EViews Glenn]

Code: Select all

equation eq1.ls dailyreturns @expand(@weekday)

to use the built-in variable, or

Code: Select all

equation eq1.ls dailyreturns @expand(weekday)

to use your coded variable (didn't see it when I wrote the first line).

Note that I left-out the overall constant to avoid dummy-variable induced singularity.

[edwardyiu]

Thanks a lot for your help.