Autopilot will not follow GPS

[petejohno]

For the JF Piper, can you please try this:
NAV/GPS switch to GPS, the autopilot is engaged, heading switch ON and the autopilot rotary switch to NAV.

I have done this many times. I am familiar with the arrow autopilot. The rotary switch will not set to nav now, it is stuck on heading.
I will  just use the gtn in heading mode for now in the arrow, it works fine in other aircraft.