Question: I estimate a multiple linear regression model for portfolio using market size and value and adding as usual a constant ( to make sure that

I estimate a multiple linear regression model for portfolio using market size and value and adding as usual a constant ( to make sure that E(errors)=0 as per the GM assumptions request). Then i wish to identify monthly effects so i generate a dummy for each month of the year, from January to December included. Eviews will

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