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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