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