Message-ID: <C9005956-FC61-4C69-B913-E0FC3653C605@mq.edu.au>
Date: 2013-07-18T18:14:03Z
From: George Milunovich
Subject: Difference between arima(1, 1, 1) of y and arima(1, 0, 1) of diff(y)
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