[Gretl-users] rolling windows

[Riccardo Jack Lucchetti]

On Mon, June 19, 2006 08:15, Daniel wrote:
> Does anyone know if there is an easy way to do a rolling windows /recursive
> estimation in Gretl and saving the predicted value?

I'm not sure what you mean. From what I understand, you want to save a series
in which the entry at time "t" is the prediction of y_t made at time (t-1),
no? In this case, you can use a loop; the thread starting from

http://ricardo.ecn.wfu.edu/pipermail/gretl-users/2006-February/000563.html

may be of some use to you. Also check out the message that Ignacio sent a
couple of weeks later:

http://ricardo.ecn.wfu.edu/pipermail/gretl-users/2006-March/000663.html

HTH,

Riccardo "Jack" Lucchetti
Dipartimento di Economia
Facoltà di Economia "G. Fuà"
Ancona