We report the electronic structure of Pd(001) films with various thicknesses, within a self-consistent real-space description of the Hubbard Hamiltonian. We point out that the onset of ferromagnetism in Pd films is not a surface effect, but is directly related to the thickness of the slab: when the lattice parameter increases, films of two or three planes become ferromagnetic. Films with increasing thicknesses (from five layers to the bulk size) need a greater increase of the lattice parameter. An important supplementary lattice expansion is necessary to obtain a free-standing ferromagnetic monolayer. The surprising experimental results of Pd films on Ag or Fe substrate, are well described within this framework.