[R] Re cursive regression

[manta]

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
regressors. My sample period (monthly observations) starts on Jan 1972. What
I need to do is the following:

1)use a moving window regression (window of 60 observations, i.e. 5 years)
2)estimate all the possible model (Jan 1972 Dec 1977) using a subset of the
k variables (intercept and lagged values always present) and choose the best
model according to thee AIC criterion
3)once the best model is chosen, make one-step ahead prediction with that
model
4)go back to step 2 shifting the sample period one month ahead (i.e. Feb
1972, Jan 1978) and then repeat step 2 and 3
5)keep going until the end of the sample (May 2009)

Hope it helps
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