I recently implemented this very pattern in a web application, in which I wanted to represent the current state (in the sense of REST) in such a way that I could say

{code}
state.getNextPage().getRest()
{code}

to get the URL which represents "the next page of results".

In order to permit construction of arbitrary, unknown future subclasses, I use the factory method.

{code}
// pseudo-code
class StateWithPage implements State {
  public State getNextPage() {
     return createState(this.page + 1);
  }

  protected State createState(final int page) {
     return new StateWithPage(page);
  }
}

class StateWithPageAndColor extends StateWithPage {
  protected State createState(final int page) {
    return new StateWithPageAndColor(page, this.color);
  }
}
{code}