[Gretl-users] Rolling forecast with fixed estimation window

Hi, im new to gretl and this mail list but i thought i'd give it a chance. Im currently doing a comparison between recursive and rolling forecats with h-step ahead (1,3,6) The script im trying to use i found in an earlier mail from the archive and i tried to modify it abit to suit my needs.currently it looks like open kandidat.gdt scalar DataLen = $nobs scalar WindowLen = 191 scalar FirstObs = 1 scalar LastObs = WindowLen matrix FCMat = zeros(DataLen, DataLen - LastObs) scalar j = 1 loop t = LastObs + 1..DataLen - 1 smpl FirstObs LastObs ols OMX30 const OMX30(-1) OMX30(-2) OMX30(-3) OMX30(-4) OMX30(-5) OMX30(-6) OMX30(-7) OMX30(-8) OMX30(-9) OMX30(-10) OMX30(-11) OMX30(-12) --robust --quiet smpl 1986:2 2002:12 fcast FSeries (#is it possible to add --rolling and --out-of-sample here) FCMat[,j] = FSeries FirstObs = FirstObs + 1 LastObs = LastObs + 1 j++ endloop > ># drop missing values and print >FCMat = FCMat[4:,]print FCMat What i want to do is for example to try and use 1986:2-2002:12 as the initial estimation period and roll the window forward while dropping the first obsvervation for each step i move "forward". Then do out of sample forecasts for 2003:1 to 2012:12 while keeping the estimation window rolling at 191observations and doing either 1,3 or 6 steap ahead forecast. Is this possible and in that case Best regards Pierre