Making a regression with dummy variables

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jip123
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Joined: Fri Jul 20, 2012 4:53 am

Making a regression with dummy variables

Postby jip123 » Fri Aug 17, 2012 5:58 am

Hello All,

I want to do some regressions on the month of the year calendar effect.
Now I alredy made my dummies in excel, and imported everything in eviews.
For every month i made a dummy named (_01d, _02d,...._12d),
r are the returns
Is it okay to make the following equation: r = _01d _02d .... _12d, or do i have to execute the equation for every month seperately: r = c _01d, and than r = c_02d. etc.?
And is it okay, when it is possible to include all the dummies. To leave de constant c out, and insert all the dummies, so that I can circumvent the dummy variable trap?

I hope somebody can help me.

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