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

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