forecasting asymmetric error correction model

[gauvain]

Hi everyone,

I am trying to perfom n-period ahead forecasts for an asymmetrc error correction model. Since the error term u (the deviation from long-run equilibrium) and the regime u falls in have to be determined for every step in the forecast I am not sure how to programm this conveniently (Do I for example have to write all eight steps individually for a eight-period ahead forecast?). Do you maybe have any suggestions?

Thanks for your help!