Consider the daily simple returns of IBM stock, CRSP value-weighted index, CRSP equal-weighted index, and the S\&P composite index from January 1980 to December 2008. The index returns include dividend distributions. The data file is d-ibm3dxwkdays8008.txt, which has 12 columns. The columns are (year, month, day, IBM, VW, EW, SP, M, T, W, H, F), where M, T, W, R, and F denotes indicator variables for Monday to Friday, respectively. Use a regression model to study the effects of trading days on the equalweighted index returns. What is the fitted model? Are the weekday effects significant in the returns at the 5% level? Use the HAC estimator of the covariance matrix to obtain the \(t\) ratio of regression estimates. Does the HAC estimator change the conclusion of weekday effects? Are there serial correlations in the regression residuals? If yes, build a regression model with time series error to study weekday effects.