Hello,

I am looking at logreturns of two different stock market indices in two countries and seeing if the weather (Cloud, temp, humidity, rain) affects the returns in two countries (two different indices). Therefore I have cross sectional timeseries data. One country's data is on top of the others and I identified it as cross sectional by using:

bys country: gen time=_n
xtset country time

I have a few questions I would really appreciate help with

1) Firstly, what does it mean to include a lagged variable, how would I choose it?
2) How do i know whether to include a squared variable and again, how do i choose it?
3) How do I test for how many GARCH lags to use?
4) How do i look at volatility in a garch model?
5) How can I include interactive factor(dummy) variables in the regression?
6) Do i test the errors and residuals, and if so how?
7) how do i test for serial correlation and what does this even show?
8) as i have two regressions per country (pre shock and post shock), how would I show these results on one table?

Please help, I would appreciate any help I am so lost and stuck. If it helps i can send you my data/do file somehow, but otherwise just instructions on which commands is something I would be eternally grateful for.

THANK YOU SO MUCH

I am so desperate lol x