Time series cross-validation: an R example

I was recently asked how to implement time series cross-validation in R. Time series people would normally call this “forecast evaluation with a rolling origin” or something similar, but it is the natural and obvious analogue to leave-one-out cross-validation for cross-sectional data, so I prefer to call it “time series cross-validation”.Here is some example code applying time series CV and comparing 1-step, 2-step, …, 12-step forecasts using the Mean Absolute Error …