There is a huge literature on time series analysis with many
functions and contributed packages in R, including many different ways
"to estimate a recursive model".
If you are working with "asset returns", I suggest you start with
Diethelm Würtz, Yohan Chalabi, William Chen, Andrew
Hi there, I'm in desperate need to figure out how to solve this issue.
I need to estimate a recursive model for a time series data of asset
returns. The dependent variable is the asset return and then I have a set of
k variables, a lagged value of the dependent variable (plus an intercept) as
regr
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