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Thanks for the reply.

I have already checked that. But I am interested in a time series regression with many lags, while the document says that the option is not available for ARMA models.
That's why I asked for the algorithmn in order to try to modify the procedure accordingly.

Hello,

I would like to know if there is a way to run a recursive least squares algorithm in order to check for linear versus non-linear dependence in my variables.

Best regards,
Konstantinos