[Rd] bug in arima?

A.I. McLeod aim at stats.uwo.ca
Thu Nov 30 20:19:53 CET 2006

I don't think arima works exactly the way one would expect when there is differencing.  What I think should happen is that by 
default the mean of the differenced series is estimated and if include.mean=F, then it is not.  This is not what happens.  Instead 
when there is differencing the include.mean argument is ignored.

Now I guess, someone could argue that the mean of the original series doesn't exist when using a model with differencing.  In this 
case, then the arima function doesn't conveniently estimate models with deterministic drift like the ARIMA(0,1,1) with drift.  Such 
models are occassionally important.

As a workaround, one can do the differencing outside of arima.  But I don't think things should work like that!

Most other time series software doesn't do this.

Ian McLeod

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