title: Statsmodels: ARIMA giving less than specified number of predictions
body: <p>I'm using ARIMA on a time-series problem.  Specifically, I'm using Sklearn's <code>TimeSeriesSplit</code> to perform cross-validation.  Unfortunately, I'm getting 3 predictions when I've asked for 30.  Here's what I've done:</p>
  
  <pre><code>    Y_train = Y_train.astype(float)
      # build basic ARIMA model
      arima_model = ARIMA(Y_train, order=(2,0,1))
      # fit it
      arima_results = arima_model.fit()
      # predict next len(test) values
      preds = arima_results.forecast(steps=len(Y_test))
      print("len of y_train:", len(Y_train))
      print("len of y_test:", len(Y_test))
      print("len of preds:", len(preds))
  </code></pre>
  
  <p>And I get back:</p>
  
  <pre><code>len of y_train: 56
  len of y_test: 30
  len of preds: 3
  </code></pre>
  
  <p>This causes an error when I go to calculate <code>mean_squared_error</code> because predictions has a different length (3) than my test set (30).  Here's the error:</p>
  
  <pre><code>ValueError: Found input variables with inconsistent numbers of samples: [3, 30]
  </code></pre>
  
  <p>Any idea what I'm bungling?</p>
  
  <p>Thanks!</p>