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 -q
Enter 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
> endloop
Syntax 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,