R help - Sep 2011 - Difference in function arima estimation between 2.11.1 and R 2.12.2

Hello , I have estimated the following model, a sarima:

p=9
d=1
q=2
P=0
D=1
Q=1
S=12


In R 2.12.2
Call:
arima(x = xdata, order = c(p, d, q), seasonal = list(order = c(P, D, Q),
period = S),
    optim.control = list(reltol = tol))

Coefficients:
         ar1     ar2      ar3     ar4     ar5     ar6      ar7      ar8
ar9
      0.3152  0.8762  -0.4413  0.0152  0.1500  0.0001  -0.0413  -0.1811
 0.0646
s.e.  0.0865  0.0885   0.1141  0.1181  0.1196  0.1220   0.1120   0.0908
 0.0865
          ma1      ma2     sma1
      -0.0221  -0.9779  -0.7635
s.e.   0.0539   0.0534   0.0834

sigma^2 estimated as 1.965e+17:  log likelihood = -3316.07,  aic = 6658.13


and in In R 2.11.1
Call:
arima(x = xdata, order = c(p, d, q), seasonal = list(order = c(P, D, Q),
period = S),
    optim.control = list(reltol = tol))

Coefficients:
         ar1     ar2      ar3     ar4     ar5    ar6      ar7      ar8
ar9
      0.3152  0.8761  -0.4413  0.0153  0.1500  0.000  -0.0413  -0.1810
 0.0646
s.e.  0.0865  0.0885   0.1141  0.1181  0.1196  0.122   0.1120   0.0908
 0.0865
          ma1      ma2     sma1
      -0.0221  -0.9779  -0.7635
s.e.   0.0539   0.0534   0.0834

sigma^2 estimated as 1.965e+17:  log likelihood = -3316.07,  aic = 6658.13

and as you can see in the results some coefficients (for example ar2 and
ar8) are different in the different R versions. does anybody know what might
be going on. Was there any change in the arima function between the two
versions?

Thank you

Felipe Parra

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Luis Felipe Parra wrote:
> 
> ....
> and as you can see in the results some coefficients (for example ar2 and
> ar8) are different in the different R versions. does anybody know what
> might
> be going on. Was there any change in the arima function between the two
> versions?
> 
You asked the same question about these results 3 days ago.
The results are not significantly different.
You were told that the very small differences can be caused by lots of
factors and you are not providing relevant information about e.g. OS,
32bit/64bit. Besides you are using an old version of R.
I really don't think there is anything to worry about.

/Berend

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