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

u, Jul 18, 2013 at 2:14 PM, George Milunovich > wrote: >> 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 t

[R] 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