[Gretl-users] Re: multi-step-ahead-forecasting

Am 07.01.2021 um 20:23 schrieb Burak Korkusuz: > Hi, > Below is an example for one-step ahead forecasting that I use the first > 5 obs. for initial sample and then forecast one-step-ahead by rolling ahead. > My question is that how should I change my code to get 5-step-ahead > rolling forecast. > Thanks, > > open denmark.gdt > set verbose off > series frcst = NA > loop i=1..20 -q #out-of-sample (20 observations)# > smpl 1+i 5+i #initial sample (5 observations)# > ols LRM const LRY > fcast 6+i 6+i #one-step-ahead-rolling-windows-forecasting# > frcst[6 + i] = $fcast > endloop > Hi, two questions first: Do you really want to have a rolling sample with a constant sample length of 5 obs? Or rather move only the end obs? Secondly, do you really want to have no lagged variables in your equation? While technically feasible, a "forecast" from an equation where all regressors except the constant are unknown for the next period doesn't give anything really meaningful. cheers sven _______________________________________________ Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/