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