Hello, I'm currently using auto.arima to verify the order of my arima model. I would like to use the model to conduct an intervention analysis. The problem is that, when I include a step function in auto.arima, by including a binary variable in "xreg", the arima order that auto.arima gives is different from when I don't include it. From my understanding, the "pre-whitening" that is required for intervention analysis simply means to determine the (p,d,q) BEFORE adding exogenous regressors. Would auto.arima not do this first, and only then apply the exogenous regressors? If this is the case, I assumed that the arima order would be the same for whether I included the binary or not. This doesn't seem to be the case, so maybe my understanding of "pre-whitening" is incorrect. Any help would be appreciated.
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