Add capacities for rolling window forecasts
Currently, we only support recursive forecasting where the time window, on which the model is estimated, expands. Necessary steps:
first_obsto take vector like
nobs(with the same consistency checks)
dynare_estimationto not either set
options_.nobs = nobs(i);or
options_.first_obs=first_obs(i)and add check that makes them mutually exclusive.
The only problem is returning the results. Currently,
oo_recursive. We can either store the rolling window estimation in the same structure or let the preprocessor assign the results to either
oo_rolling depending on whether
first_obs is more than a scalar. In this case, the preprocessor must also do the check that either rolling or recursive estimation can be requested, but not both.