JANUARY EFFECT- estimate equations

[anton]

Hallo,

Can anybody help me to estimate equation which will allow me to find if there was any change in the January's yield after year 2003.
Actually I have to estimate two equations:
1) first will allow to see if there was excess return in all month after 2003
2) second one will allow to see if there was excess return in January after 2003 by dropping the rest in the intercept C.
THE models:
1) TA100i = C(1)*D1i + C(2)*D2i + … + C(12)*D12i + C(13)*D1i*D_2003i + +C(14)*D2i*D_2003 i + … + C(24)*D12i*D_2003 I + εi
C1- C12 - Average monthly return in particular month on the period up to 2003
C (13) .... C (24) - represent the average addition in monthly return-in a particular month from 2003 onwards.
D_2003 (month2003) is a dummy variable which gets value 1 for each month after year 2003
DI (month) is a dummy variable which gets value 1 for each month that fit it's index. for example D1 will get value 1 when value of month is 1.
2)TA100i = C + C(1)*D1i + C(2)*D1i*D_2003 I + εi
I hope that my models are right for these purposes that I mentioned, if not please correct me!

I don't know if it is relevant but in the first stage of my work I just estimated average returns for each month and whole period
whit this model : TA100i = C(1)*D1i + C(2)*D2i + C(3)*D3i + C(4)*D4i + C(5)*D5i + C(6)*D6i +
+ C(7)*D7i + C(8)*D8i + C(9)*D9i + C(10)*D10i + C(11)*D11i + C(12)*D12i + εi
With this equation: ta100 @expand(month)

excess return of January by dropping all other variable in the intercept C with this model:
TA100i = C + c(1)*D1i + ε and this equation: ta100 c @expand(month, @drop(4), @drop(2), @drop(3), @drop(5), @drop(6), @drop(7), @drop(8), @drop(9), @drop(10), @drop(11), @drop(12))

P.S I use Eviews 5.1, see the work file attached

FNX