Can somebody please introduce me a time series regression dataset that has many variables and data point?
In a nutshell, I have a model of the form of
$$y_t=X'\beta+v_t$$
where $v_t=\sum_i^p \phi_iv_{t-i}+e_t$ and $e_t\sim^{iid} N(0,\sigma^2<\infty)$. Note that I can artificially simulate a dataset. Then I need a real dataset. For sure there are many datasets that this model works well on them but I cannot find anything at the mean time.I also have checked this page link but no progress. I would be thankful if somebody introduce me a dataset and probably associate paper.
