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Dear all, As I told before, I am trying to build a rolling var forecast. The basic ideia is to build forecasts for "n" periods ahead as if the set of informational available is limited until certain data. So far I had the following code: 'create a group of dummies group dummies jan fev mar...

Thanks Gareth. I guess I see what your point is... The problem is that y_hat_12 cant have a sample bigger than 300, right?
I'll try to figure something out here.

Thanks again.
Best,
Dmilanc

Hi Gareth, I guess we are getting close to make it work. Thank you, for all your help. However, after changing the code, as suggested by you, I got the following Error message: Error in sample: attempt to set sample outside of workfile range. Structure/Resize (from\WORKFILE\PROC menu) can expand the...

Hi Gareth, I'm sorry but it doesn't. Cause in the end y_hat_12 will be exactly the same as the last y_0, or to put it equivalently to my code, it would y_hat_12 would be equal to y_0_300... But, what I'd really like is to get, at the end of all loops, a series (y_hat_12 ) that would look like this: ...

Thanks for your prompt response Gareth. But, that's not exactly what I want to do. Let me try to explain it better: What I do want is to keep record of the last forecast generated in each loop. Example: First loop: forecast from var generate series y_0_1 with forecast until the 64th period for y. Th...

Dear All, First of all, I'd like congratulate you all for the terrific job you've been doing. It's quite amazing how much information we can get here. So, moving to my problem here we go: I'm also trying to obtain forecasts from a VAR, using "recursive (expanding) estimation window". After...