net install http://researchata.com/stata/203/fetchyahooquotes.pkg, force fetchyahooquotes AAPL DIS BA SPY, freq(d) chg(ln) start(01jan2010) save temp.dta, replace use temp.dta, clear gen monday=0 replace monday=1 if (dow(date)==1) gen tuesday=0 replace tuesday=1 if (dow(date)==2) gen thursday=0 replace thursday=1 if (dow(date)==4) gen friday=0 replace friday=1 if (dow(date)==5) gen obs=_n tsset obs reg ln_AAPL ln_SPY monday tuesday thursday friday reg ln_DIS ln_SPY monday tuesday thursday friday reg ln_BA ln_SPY monday tuesday thursday friday