Regression equation for January effect
Posted: 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
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