Error Handling in a Loop

Dear Gurus,

I recently encountered this issue when writing an error handling section inside a For loop (VBA for Excel). It seems that the On Error status resets to GoTo 0 after the first time an error has been handled.

To illustrate this, in the following situation, I expected 5 Message Boxes but I only get 1. After the error handler activates the next loop, the On Error GoTo NextFor seems to have lost its meaning. My purpose is to have a "On Error GoTo Next Loop" mechanism in place. Could you please help?

Sub test()

For i = 1 To 5
    On Error GoTo NextFor
    Worksheets("NoSuchWorksheet").Activate

NextFor:
    MsgBox "At i = " & i & ", Loop Jumped to NextFor"
    Next
End Sub