Regression equation for January effect

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nong_cnt
Posts: 1
Joined: Thu Sep 22, 2011 6:55 pm

Regression equation for January effect

Postby nong_cnt » Thu Sep 22, 2011 6:59 pm

Hi All,

I am new to Eviews. I'm sorry if I ask a dumb question.
I need to test january effect on the stock market. I have a monthly return data.

My model to test January effect:
Return = B1D1 + B2D2 ... B12D12

D1-D12 are dumy variables representing january to december.
B1-B12 are representing the estimate of a mean return from Jan to December.

The problem is how do I put this into e-view and get the result.

Thanks,
Narongsak

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