EViews.com

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

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

You might take a look in the manual or the help system for "recursive least squares."

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.

You can put in lags of the dependent variable, but admittedly that's not going to get you all the way to ARMA errors.