[R] Difference between arima(1, 1, 1) of y and arima(1, 0, 1) of diff(y)

2013-07-18 Thread George Milunovich 
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

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Re: [R] Difference between arima(1, 1, 1) of y and arima(1, 0, 1) of diff(y)

2013-07-18 Thread George Milunovich 
Hi Mark,
This is very helpful!!
Much appreciated

Sent from my iPad

On Jul 19, 2013, at 3:51 AM, Mark Leeds marklee...@gmail.com wrote:

 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
 
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