Hi, I am trying to write rolling windows forecasting code in gretl. I am using simple OLS
method to estimate model.
First model estimation [smpl 23-500] and then one-step-ahead forecast [501], Second
model estimation [smpl 24-501] and then one-step-ahead forecast [502],..last model est.
[smpl 1023-1523] ''
[1524].
how can i do this loop command i did try something like in the below but does not work.
? set verbose off? smpl 23 500? loop i=1..100 -qEnter commands for loop. Type
'endloop' to get out> ols RV5_FTSE const RV5_FTSE(-1) HARWEEK HARMONTH -q>
fcast --out-of-sample--rolling > smpl 23+i 500+i> endloopSyntax error>> fcast
--out-of-sample--rolling?
Can anyone help me about writing this code? I am struggling about that but I do not know
how to obtain one-step-ahead rolling windows forecasted values. It exists for recursive
windows forecasting in the dropdown menu but rolling one does not exist.
Thanks very much,