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.gdt

set verbose off

series frcst = NA

loop 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] = $fcast

endloop