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

George Milunovich george.milunovich at mq.edu.au
Thu Jul 18 20:14:03 CEST 2013

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.

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