R help - Jul 2013 - 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

Hi George: Assuming it's still relevant, the link below will explain why.

http://www.stat.pitt.edu/stoffer/tsa2/Rissues.htm



On Thu, Jul 18, 2013 at 2:14 PM, George Milunovich <
george.milunovich@mq.edu.au> 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 these two approaches give
the
> same output?
> Any help will be much appreciated.
> george
>
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