Hi,Below is an example for one-step ahead forecasting that I use the first 5 obs. for
initial sample and then forecast one-step-ahead by rolling ahead.My question is that how
should I change my code to get 5-step-ahead rolling forecast.Thanks,
open denmark.gdtset verbose offseries frcst = NAloop i=1..20 -q #out-of-sample (20
observations)# smpl 1+i 5+i #initial sample (5 observations)# ols LRM const
LRY fcast 6+i 6+i #one-step-ahead-rolling-windows-forecasting# frcst[6 + i]
= $fcastendloop