I am using the Breusch-Godfrey for autocorrelation, but I dont know how many lags should I use?
I am testing seasonality of funds returns with the following OLS model:
Rt=B0+B1Dmt+Ut
Rt is the return on funds; B0 is the intercept; Dmt is the dummy variable. The value 1 corresponding to January and 0 otherwise; Ut is error term
My data is daily.
Any feedback you could give me would be greatly appreciated
I am testing seasonality of funds returns with the following OLS model:
Rt=B0+B1Dmt+Ut
Rt is the return on funds; B0 is the intercept; Dmt is the dummy variable. The value 1 corresponding to January and 0 otherwise; Ut is error term
My data is daily.
Any feedback you could give me would be greatly appreciated
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