I am having some issues with differencing using auto.arima when also specifying an xreg dataframe.
The xreg dataframe contains dummy variables that specify time periods that had a promotion running. When I model diff(y) with order (1,0,1), the coefficients for these dummy variables are very different than when I model y with order=(1,1,1). I think when modeling diff(y) the coefficients represent the % change from week to week (since the response is first logged) and I may be having issues trying to run a dummy variable over consecutive periods since the promotion is probably not causing increases in % changes at each time period. But when modeling y with order (1,1,1), it allows me to use the dummy variable over consecutive periods and appears meaningful. Does anyone have any insight as to why this is happening? -- View this message in context: http://r.789695.n4.nabble.com/Differencing-with-auto-arima-and-xreg-tp2279874p2279874.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
