From aim at stats.uwo.ca  Thu Nov 30 20:20:13 2006
From: aim at stats.uwo.ca (aim at stats.uwo.ca)
Date: Thu, 30 Nov 2006 20:20:13 +0100 (CET)
Subject: [Rd] bug in arima? (PR#9404)
Message-ID: <20061130192013.C242D41F05@slim.kubism.ku.dk>

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



[Rd] bug in arima? (PR#9404)
aim at stats.uwo.ca