Yes, HARWEEK and HARMONTH
variables refer to the past and they are already averaged
weekly/monthly values. The thing is as a series I cannot pick
up one-step-ahead forecasted values that is generated by
re-estimated regressions. When I run, the codes generate a
series has only 436th forecasted observation.
The below codes give output
as I would like to do (one-step-ahead rolling windows
forecasting) but I cannot save a series those one-step-ahead forecasted
values.
<hansl>
set verbose off
loop i=1..100 -q
smpl 23+i 335+i
ols RV5_FTSE const RV5_FTSE(-1) HARWEEK
HARMONTH
fcast 336+i 336+i
endloop
</hansl>
Well you can always use the $fcast accessor to get the result of
the last fcast command. So before the loop create a variable to be
filled, e.g. like this:
series pointforecast = NA
And then directly after the fcast line but still inside the loop
you insert something like:
pointforecast[336 + i] = $fcast
This should give you the wanted series of 1-step-ahead rolling
forecasts.