[Gretl-users] Re: rolling windows forecasting code

Sorry, my fault, thanks for responding. I am adding my data to the email. I have 5-minute realised variance data for FTSE. Basically, I am trying to do rolling windows forecasting using the HAR-RV model (in time series). I will have the initial sample;  observation 24-336 (I labelled observation date as numbers). Observations between 337-437 will be the out-of-sample. First, I want to estimate HAR model with 24-336 obs. and then forecast one-step-ahead forecast [337]. Next, estimate HAR with 25-337 obs. and then forecast [338]. Estimate with 26-338 and then forecast [339] ... I am not sure I am doing right with my codes and in my case rolling windows forecasting is; one-step-ahead forecasted values are generated by each sliding different HAR model (i.e. 24-336, 25-337, 26-338 ...). I am doing that with HAR-RV model and later on, I will add to the model as an exogenous variable –VIX, EPU, Industrial production etc.– and compare forecasting performance.