weak form tests

[thebunnun]

hi guys, i'm kinda totally new to practical econometrics. I have to test whether a market is efficient in its weak form by using daily data of its price index, termed 'demex'. I tried 'estimate equation' demex c demex(-1) demex(-2) demex(-3) demex(-4). Is this the right way? I also tried same with its return index, 'demtri' and got a case of perfect collinearity. what should i do?? i'm totally lost as it is my first time using the software and estimating a regression. help me out please.