Re: [Gretl-users] Rolling forecast with fixed estimation window

Pirre, Here's a snippet from a script I wrote a while ago to do rolling correlations. You should be able to modify it to do what you want. <hansl> nper = 12 # frequency of data window = 10 # number of years' worth of data per regression begdate = obsnum(1986:02) enddate = begdate+nper*window loop while enddate<=obsnum(2002:12) --quiet smpl begdate enddate # do estimation, forecasting, etc. ... begdate++ enddate++ endloop smpl --full <\hansl> HTH, PS From: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] On Behalf Of pirre andersson Sent: Tuesday, May 14, 2013 9:34 AM To: gretl-users(a)lists.wfu.edu Subject: [Gretl-users] Rolling forecast with fixed estimation window Hi, im new to gretl and this mail list but i thought i'd give it a chance. Im currently doing a comparison between recursive and rolling forecats with h-step ahead (1,3,6) The script im trying to use i found in an earlier mail from the archive and i tried to modify it abit to suit my needs. currently it looks like open kandidat.gdt scalar DataLen = $nobs scalar WindowLen = 191 scalar FirstObs = 1 scalar LastObs = WindowLen matrix FCMat = zeros(DataLen, DataLen - LastObs) scalar j = 1 loop t = LastObs + 1..DataLen - 1 smpl FirstObs LastObs ols OMX30 const OMX30(-1) OMX30(-2) OMX30(-3) OMX30(-4) OMX30(-5) OMX30(-6) OMX30(-7) OMX30(-8) OMX30(-9) OMX30(-10) OMX30(-11) OMX30(-12) --robust --quiet smpl 1986:2 2002:12 fcast FSeries (#is it possible to add --rolling and --out-of-sample here) FCMat[,j] = FSeries FirstObs = FirstObs + 1 LastObs = LastObs + 1 j++ endloop > ># drop missing values and print >FCMat = FCMat[4:,] print FCMat What i want to do is for example to try and use 1986:2-2002:12 as the initial estimation period and roll the window forward while dropping the first obsvervation for each step i move "forward". Then do out of sample forecasts for 2003:1 to 2012:12 while keeping the estimation window rolling at 191observations and doing either 1,3 or 6 steap ahead forecast. Is this possible and in that case Best regards Pierre