I just found it when I estimated an AR model (via ARIMA) with sub-sample
observations to generate the out-of-sample forecasts in GUI. A window then
pops up to ask "Add observations."
With the reduced observations in the sub-sample, the forecasting in an
estimated AR (or ARMA) model seems unnecessary to add new observations.
Adding observations seems to only be required for only out of the current
whole sample.
I further test the same forecasts function in an OLS model with the same
lagged variable with the same sub-sample. It does not require me to add
observations.
I tested three versions of gretl - 2022c, 2023a, and 2023b-git (build date
of 2023-04-27) and found that the results were consistent across all three.
Is this strange or intended? As I can recall in earlier version, forecasts
in AR models with sub-sample need not to add new observations.
Thanks.
Yi-Nung Yang