Good morning everybody,

I would like to create a kind of loop to perform and out-of-sample analysis for my monthly data adding one more observation each time for the forecats (one step ahead forecats). This is what I am doing:

First, I am running a baseline regression for a variable on itself lagged one period and then I am adding some other variables to check if the forecast improves. So, my baseline model is like this:

reg variable_x l.variable_x

Then I would like to run that regression model (I guess that I can use the command Arima as well) until a specific date, like this,

reg variable_x l.variable_x if date<tm(2012m01)

And after that I want to predict the observation for the next month

predict p_variable_x if date==tm(2012m01)

Then I repeat the previous steps adding one month in each regression and predicting the next month:

reg variable_x l.variable_x if date<tm(2012m02)
predict p_variable_x if date==tm(2012m02)

reg variable_x l.variable_x if date<tm(2012m03)
predict p_variable_x if date==tm(2012m03)

.......

And so on...

I have about 120 months to forecast, so it is quite tedious to do it one by one. So I would like to know if there is a way to create a kind of loop to perform that forecasts.

Thanks for your help