[Gretl-users] Re: rolling windows forecasting code

Yes, HARWEEK and HARMONTH variables refer to the past and they are already averaged weekly/monthly values. The thing is as a series I cannot pick up one-step-ahead forecasted values that is generated by re-estimated regressions. When I run, the codes generate a series has only 436th forecasted observation. The below codes give output as I would like to do (one-step-ahead rolling windows forecasting) but I cannot save a series those one-step-ahead forecasted values.<hansl> set verbose off loop i=1..100 -q     smpl 23+i 335+i     ols RV5_FTSE const RV5_FTSE(-1) HARWEEK HARMONTH     fcast 336+i 336+i endloop </hansl> On Monday, May 18, 2020, 04:41:49 PM GMT+1, Sven Schreiber <svetosch(a)gmx.net&gt; wrote: Am 16.05.2020 um 06:59 schrieb Burak Korkusuz: Sorry, my fault, thanks for responding. I am adding my data to the email. I have 5-minute realised variance data for FTSE. Basically, I am trying to do rolling windows forecasting using the HAR-RV model (in time series). I will have the initial sample;  observation 24-336 (I labelled observation date as numbers). Observations between 337-437 will be the out-of-sample. First, I want to estimate HAR model with 24-336 obs. and then forecast one-step-ahead forecast [337]. Next, estimate HAR with 25-337 obs. and then forecast [338]. Estimate with 26-338 and then forecast [339] ... I am not sure I am doing right with my codes and in my case rolling windows forecasting is; one-step-ahead forecasted values are generated by each sliding different HAR model (i.e. 24-336, 25-337, 26-338 ...). I am doing that with HAR-RV model and later on, I will add to the model as an exogenous variable –VIX, EPU, Industrial production etc.– and compare forecasting performance.  OK, for convenience let me paste your code from the attached mycode.inp here again: <hansl> set verbose off loop i=1..100 -q     smpl 23+i 335+i     ols RV5_FTSE const RV5_FTSE(-1) HARWEEK HARMONTH     fcast 336+i 336+i 1 forecasted --recursive endloop </hansl> Basically I'd say this looks fine. However, two or three comments: 1) At first glance it appears that HARWEEK and HARMONTH are contemporaneous variables. If that's true, it's not a real forecasting equation. But perhaps in the background those variables actually refer to the past. 2) The '--recursive' option is redundant here, since you're only specifying a single obs to be forecast -- apart from the fact that you don't want a recursively estimated model (where the starting obs of the estimation window is fixed). cheers sven _______________________________________________ Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/