All, I'm estimating an ARMA(2,2) model from generated data using gretl's exact likelihood. When I forecast 10 periods out from the end of the sample, the first 2 forecast standard errors are as I would expect. However, after this the standard error of the prediction is larger than the standard error of my series. I was under the impression that this cannot be. Surely, I'm misunderstanding something? The standard error does approach some limit, though I'm not sure what. Does someone have a reference for this? I didn't see anything in the gretl user guide.
The series is here, if someone wants to replicate. http://pastebin.com/qr5FCp2K Thanks, Skipper
