# The auto.arima function in forecast package

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## The auto.arima function in forecast package

 Hi,    I am wondering if I am doing correctly, but my auto.arima usually (if not always) give me (0,1,0), whatever portion of the series I take. In the following instances, only the last one yields ARIMA(0,1,1), and all the other cases yield ARIMA(0,1,0). I would like to do forecast based on ARIMA. The forecast with ARIMA(0,1,0) is exactly the random walk forecast for any forecasting horizon h, so it does not make much sense.... Am I doing anything wrong? Is the data very unusual?    The length of the df_arima sequence is 68. My data is seasonally adjusted, so I use seasonal = FALSE. > auto.arima(df_arima, d=1, ic="aic", seasonal = FALSE) Series: df_arima ARIMA(0,1,0) sigma^2 estimated as 0.9323:  log likelihood=-221.43 AIC=444.85   AICc=444.88   BIC=447.93 > auto.arima(df_arima[2:30], d=1, ic="aic", seasonal = FALSE) Series: df_arima[2:30] ARIMA(0,1,0) sigma^2 estimated as 1.486:  log likelihood=-45.28 AIC=92.56   AICc=92.71   BIC=93.89 > auto.arima(df_arima[30:50], d=1, ic="aic", seasonal = FALSE) Series: df_arima[30:50] ARIMA(0,1,0) sigma^2 estimated as 2.065:  log likelihood=-35.63 AIC=73.26   AICc=73.48   BIC=74.25 > auto.arima(df_arima[30:65], d=1, ic="aic", seasonal = FALSE) Series: df_arima[30:65] ARIMA(0,1,1) Coefficients:          ma1       0.3684 s.e.  0.1591 sigma^2 estimated as 1.328:  log likelihood=-54.19 AIC=112.39   AICc=112.76   BIC=115.5 > dput(df_arima) c(0.206955966502065, 0.572310398166964, 0.730924932354315, 1.41842200551883, 3.46103800972619, 3.61249423115895, 5.82223437508589, 4.16838241173942, 3.41346768155648, 0.862064978610255, 0.998745364906517, 0.519274399474301, -1.11283353732583, -0.735660435061958, -0.780332562883557, 0.835729609943847, 2.72188993637388, 2.28434816118952, 1.89419627788212, 0.808622045623819, 0.628929267637468, -0.605142332415043, -1.50590253313166, -0.288872689519148, 0.779724144195981, 1.77156391706856, 1.54853781756041, 3.31419159924959, 1.93558418905826, 1.2733744986462, 1.08821585241274, 2.62853576193935, 3.73925259835317, 4.36605858718784, 4.94030870469473, 4.95025405015856, 3.62293670685028, 2.66083271862916, 2.63088962945459, 2.64079870265661, 2.24308372288402, 4.60965981893589, 5.61665338477875, 4.13854855208327, 2.74923595127379, 1.95704807193253, 1.39700634338462, -3.2051540517546, -4.14645815871689, -3.55954963127346, -2.75935917560429, -2.35979888878128, -1.60997264659325, 0.107359485533354, 0.452171464181572, 1.83710430300006, 2.05388942618911, 1.42071194194746, 0.62281728667859, 0.66619920044817, 1.91899026506288, 0.876017396693274, 0.767997179685187, 0.960763098531148, 1.07168884361519, 1.7179971391635, 0.916107067445848, 0.488814956401007, 0.445930327726551, 0.700746383716555, 1.85843822164806, 0.892473264860727, 0.614568090119794, 2.4071141581713, 1.95656784524512, 1.97416030945137, 1.50143287537079, 2.16462319254254, 2.07797672518777, 0.272208427739407, 0.798064671535004, 0.754477049206304, 1.15345347401843, 1.2569270188491, 1.04667488857908, 1.61549969176582, 1.61397592409376, 2.15802281566817, 1.77514416862246, 1.37441120562698, 2.02489513295532, 2.58699935920175, 2.75245197313523, 2.23920076522477, 1.5517277192193, 2.1968256454034, 2.56612088350139, 1.58214013021238, 0.224868329892303, 0, 0.75815516785358, 0.306075421735685, -0.911618439021877, -0.851059960629386, 0.920475843398605, 0.204019124781452, 0.265049070791767, 0.693380201646732, 1.76190014304951, 1.7409678665274, 2.30875574967095, 3.1616985460498, 3.03416937102321, 2.51100317138793, 1.74651451299397, 2.1955027765292, 0.885663954102278, 0.42162278205693, -0.919995110735239, -1.09905745071531, -2.68791519080633, -3.351439, -2.10834457783508, -2.20921682103322, -0.74375338663687, -0.402576080931594, 1.20253696682322, 1.49061195023896, 0.526155117506621, 1.48289074384766, 0.627624111314717, 0.262639414167709, 0.101025401449073, 0.667507628973207, 0.86863891914688, 0.603620359927048, 1.53734977063493, 1.63989774985629, 2.06996035293847, 1.23150306020205, 1.00602988533123, 1.46753831297777, 1.28396719372157, 1.22372099999999, 0.42010456383097, 1.68739489046037, 1.0009947634714, 0.218850966640427, 0.218698677177565, 0.457733617597422, 1.42090579656218, 0.436897503947153, 1.05592733175737, 1.67544706250284, 2.69758588203255, 2.87640149597799, 2.13003529065778, 2.42946437023286, 2.32608159085508, 1.97956200691809, 0.274402066259904 )         [[alternative HTML version deleted]] ______________________________________________ [hidden email] mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-helpPLEASE do read the posting guide http://www.R-project.org/posting-guide.htmland provide commented, minimal, self-contained, reproducible code.