[Gretl-users] Re: rolling windows forecasting code
Am 14.05.2020 um 02:05 schrieb Burak Korkusuz:
I am trying to write code for the rolling windows forecasting using
HAR-RV model.
My codes are:
Again I would ask you to send codes that can actually be run. You're
using undocumented and/or unavailable datasets in your examples. This
makes it difficult to help you.
set verbose off
loop i=1..100 -q
smpl 23+i 335+i
ols RV5_FTSE const RV5_FTSE(-1) HARWEEK HARMONTH
fcast 337 437 1 forecasted --rolling
Next, please stop using the option "--rolling". This is still working
for compatibility reasons but was renamed to "--recursive" in gretl
2017d (see http://gretl.sourceforge.net/Backward.html). This is
important because "rolling" was an ambiguous term. How do you define
rolling in your case, what exactly do you want to achieve?
cheers
sven