I have a series of annual returns on one-year futures contracts for every month they expire. Essentially I have a monthly time series of annual returns. I'm regressing these on a similarly calculated annual return series. Assuming for a moment that the series is i.i.d from year to year, how do I correct for the fact that I have 12 quasi-overlapping observations in each year? I feel like the answer to this question should be easy, but I'm not sure I'm doing it right.
-Malcolm
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