Pedro,

I only skimmed your question on stackoverflow, but since I had just seen a
related post on R-bloggers (http://www.r-bloggers.com), I thought you might
be interested.

"Out-of-sample one-step forecasts
"It is common to fit a model using training data, and then to eval­u­ate
its per­for­mance on a test data set. When the data are time series, it is
use­ful to com­pute one-step fore­casts on the test data. For some rea­son,
this is much more com­monly done by peo­ple trained in machine learn­ing
rather than statistics."

Continue reading ...
http://robjhyndman.com/hyndsight/out-of-sample-one-step-forecasts/

Hope this helps.

Jean



On Wed, Feb 13, 2013 at 9:28 AM, Pedro Carvalho
<pedro_n_pinto@hotmail.com>wrote:

>
> Hello,
>
> I have submitted a R question to stackoverflow and have not received an
> answer.
>
> Could anyone help me out?
>
>
> http://stackoverflow.com/questions/14825443/backtesting-accuracy-of-regression-model-through-rolling-window-regression-with
>
> Best regards,
> Pedro
>
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>
> ______________________________________________
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> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
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>

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