Am 07.01.2021 um 23:07 schrieb Burak Korkusuz:
> Thanks for your reply,
> maybe, that one is clearer. This is for one-step ahead forecasting. I am
> trying to generate 5 (and 22) -step-ahead out-of-sample forecasts using
> the equation (ols djclose const djclose(-1)) starting of the sample
> period 1+i  – 100+i. However, the equation is estimated recursively
> every time and forecasted every time using the new equation fitted values.
>
>
> open djclose.gdt
> set verbose off
> series frcst = NA
> loop i=1..200 -q         #out-of-sample (10 observations)#
>      smpl 1+i 100+i        #initial sample (5 observations)#
>      ols djclose const djclose(-1)
>      fcast 101+i 101+i    #one-step-ahead-rolling-windows-forecasting#
>      frcst[101 + i] = $fcast
> endloop

Well inserting the FC horizon specification should still work here.
Since you're forecasting out-of-sample in every step the forecast should
be dynamic by default (check the fcast reference), but if you want to be
absolutely sure you may append the --dynamic option to the fcast line.

cheers