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Another question: When you change the sample here

'out of sample forecast
!ahead=12
smpl @first+!i+!window-2 @first+!i+!window-2+!ahead
vecmod.solve

Does the code really use past values, because for my dynamic forecasts I need past values (5lags) and forecasted values (at least for h>5). Thx!

Well, somehow I have to rely on it, although it's not that unrealistic in my case. :D

Hi again, sorry for that stupid question, but I don't really have to change the !ahead value , right? I just have to put the highest h (in my case 7) in there and get all other forecasts for h=1,2,3,4,5,6,7 in that matrix as well.

Hi! Thanks alot! I will try that later on....

So if I want to do dynamic multistep ahead out of sample forecasts I just have to enlarge the sample and solve the model? If yes, how can I save my 4-,5-,6- and 7-steps ahead forecasts in a vector? Have tried out different fixes, but somehow it doesn't work out... Any hints? Thx alot!

Oh sorry, I meant dynamic forecast; so that I get 4, 5, 6 and 7 steps out of sample forecasts for a and b.

Hi together! I have the following code for a rolling regression of a VECM; my question is, how can I manipulate this code to create 4-step and 5-step ahead static forecasts for variables a and b and store them in different vectors? Thanks alot for comments :) 'set window size !window=400 'get size o...

Well, what I want to do is the following: estimate the parameters for every step and store them in a huge matrix, so that I can build h-step-forecasts(h=1,6,12) using the estimates later on. Or is there a better(easier) way than creating this huge matrix for that task?

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