Skip to content
Prev 327093 / 398502 Next
Original Raw

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

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

Thread (3 messages)

George Milunovich Difference between arima(1, 1, 1) of y and arima(1, 0, 1) of diff(y) Jul 18 Mark Leeds Difference between arima(1, 1, 1) of y and arima(1, 0, 1) of diff(y) Jul 18 George Milunovich Difference between arima(1, 1, 1) of y and arima(1, 0, 1) of diff(y) Jul 18