A lot of work on seasonality effect makes it clear as to how to take days of the week as dummy variable and study the monday effects (monday=1 and rest 0), friday effects and likewise. Is there any way to study the week to expiry effect ?

I have a mispricing series of index futures contracts computed by taking difference between actual futures prices minus theoretical futures price via cost of carry model.The daily closing prices of near term contract(one month) has been taken for four years. Now, if we want to study the week to expiry effects as in last week to expiry , second last week to expiry and likewise to study their impact on dependent variable i:e mispricing series. How do we proceed? Any lead in the same is highly appreciated.