Again, consider the daily log return of CRSP equal-weighted index from January 1980 to December 1999. Create
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Again, consider the daily log return of CRSP equal-weighted index from January 1980 to December 1999. Create indicator variables for Mondays, Tuesdays, Wednesdays, and Thursdays and use a regression model, possibly with time series errors, to study the effects of trading days on the index return. What is the fitted model? Are there serial correlations in the residuals?
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