Hi Di,
Thanks for your input. I understand what you are suggesting but this just shifts the value by one but you are still using one-step ahead predictions just shifted, this predictions are made with more information than what was effectively available at that timestamp in time.
What I would like to do is compare the 3rd step a-head prediction with the 1st step a-head for any observed value in my validation dataset but made with the same amount of info, i.e. at that timestamp). In other words, I would like to really see the forecast for i-th period for any oberved value(row). Or using JMP terms and quoating from Help > Books > Specialized Modeling > Time Series:
I would like to save the right part of the forecast plot for all the rows in my validation datasets. Assuming my forecast period is 3 I would then like to store the three periods in three different column next to the observed value.
Hope this makes it a bit more clear.