Do you leave lights on for your dog if you go out at night?

When I had a dog he was not often left alone, but when he was we always left lights and the TV on.

I read recently that each time you leave a dog on its own it thinks you are leaving for ever and does not expect you ever to return. It is possible to train a dog to understand that when it's left alone the owner is going to return. Otherwise the dog will spend its time alone feeling unhappy and rejected.