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OK. I'll just stick with anchored for now.
Many thanks.

Thanks for your quick answer :D ! Actually, I think my explanation wasn't that clear, because I think "rls" would do what I want. I'd like to simulate doing this regression everyday for the past 50 years, and construct series of coefficients that do not contain forward looking data (coef a...

Hi, I'm doing a simple OLS regression, and I'd like to estimate and store coefficients recursively, using either an anchored or a rolling estimation period. I know I could do this into a loop, but it seems that I could do it faster using the "rls" function. So far, I'm doing this: equation...