Time series regression - overlapping information

[Qexplorer]

Hi All,

If data for a variable to be used in a time series regression reflects the annual information for that variable but the frequency of the data is monthly, then would using such a data in the regression cause a kind of an overlap of information?

I mean to say suppose I have data for a variable X which is available for the month of Jan, Feb, Mar....Dec. But the available data for the month of Jan 2010 gives information on the variable for the month of Jan to Dec 2009. Similarly, the data for the month of Feb 2010 gives information on the variable for the month of Feb 2009 to Jan 2010 and so on.

Would using such a data in a time series regression equation face problem of an overlap of information since the data for the month of Feb to Dec 2009 (11 months) has been counted twice when I took the available data for Jan 2010 and Feb 2010 respectively.

My questions are:

1. Is it a problem at the very first place?

2. If yes, how would it affect my model - its R square and the t-values of the variables?

3. How to get rid of such a problem?

Kindly answer.

Thanks!!