Hi George: Assuming it's still relevant, the link below will explain why. http://www.stat.pitt.edu/stoffer/tsa2/Rissues.htm
On Thu, Jul 18, 2013 at 2:14 PM, George Milunovich < george.milunov...@mq.edu.au> wrote: > Dear all, > When I run an arima(1,1,1) on an I(1) variable, y, I get different > estimates to when I first difference the variable myself, e.g y2<-diff(y), > and then run arima(1,0,1) on y2. Shouldn't these two approaches give the > same output? > Any help will be much appreciated. > george > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
