Model to test seasonality
Posted: Mon Jul 25, 2016 9:08 am
Hi,
My dissertation is about funds seasonality and the model that I am using is an OLS with dummies to check if january have a return greater than the remaining period:
Rt = B0 + B1 Dmt + Ut
Rt is the return on funds
B0 is the intercept
Dmt is the dummy variable. The value 1 corresponding to January and 0 otherwise
Ut is error term
What tests do I have to run? I am checking for heteroscedasticty(White test) and serial correlation (Durbin Watson test). Do I need to run other tests?
Thank you
Any feedback you could give me would be greatly appreciated
Duarte
My dissertation is about funds seasonality and the model that I am using is an OLS with dummies to check if january have a return greater than the remaining period:
Rt = B0 + B1 Dmt + Ut
Rt is the return on funds
B0 is the intercept
Dmt is the dummy variable. The value 1 corresponding to January and 0 otherwise
Ut is error term
What tests do I have to run? I am checking for heteroscedasticty(White test) and serial correlation (Durbin Watson test). Do I need to run other tests?
Thank you
Any feedback you could give me would be greatly appreciated
Duarte