I do the 1,2,3, and 4 step-ahead forecast horizons by using the forecast command inside the estimation block
estimation( forecast=4) data_pid data_wp data_i;
but then dynare report up to 5-step-ahead forecast horizons. Why is that? I am using dynare 4.4
4.4 the initial condition was also stored. This is a known bug. Please upgrade to Dynare
I see, the initial condition is the starting point of forecast. Is this right?
Because I found that this value is exactly the same as the last observation of actuall data
Yes, it is the last observation
I got it, thank you so much for that