If you want to forecast out of the sample you should add the
corresponding "space" for the new observations before using 'fcast', the
command is
dataset addobs 10
(for adding 10 new obs)
Dear Ignacio,
Thanks a lot for your answer,
but I think this is not the problem, once I'm estimating my models
using a subsample. Please take a look at my script:
<hansl>
open australia.gdt
smpl ; 1989:4
var 4 E PAU PUS --quiet
fcast --out-of-sample
series E_hat = $fcast[,1]
smpl --full
print E_hat --byobs
</hansl>