I have used the option: filter_step_ahead = [1 2 3 4] in the estimation command to generate 1 to 4 quarters-ahead filtered estimates of some variables. I want to evaluate the real-time forecast accuracy.
Now in the oo_ structure, I have 4 folders: Filtered_Variables_1/2/3/4_step_ahead.
Suppose I open Filtered_Variables_4_step_ahead. This has as many values as the number of time periods in my data. Now let us concentrate on the first value. What does it signify? Is it, 4-quarter ahead forecast evaluated at t=1 or 4-quarter ahead forecast evaluated at t = -3 ?