I am now trying to run the following regression Therefore I have monthly returns for each of the years examined. Basically, I am trying to look for a positive November effect and a negative July effect. I am trying to analyze seasonal patterns within ETF (exchange-traded fund) returns over the last 7 years. Since I am quite new to Eviews, I really do not know if I am already messing up at the beginning or at some later stage of the equation set up. I have been trying to set up a seasonal dummy regression, however, for some reason it just wont work.
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