Time Series - ARIMA differencing problem

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Time Series - ARIMA differencing problem

deadlyspider

Hi,
I have been using this website (
http://www.stat.pitt.edu/stoffer/tsa2/Rissues.htm
http://www.stat.pitt.edu/stoffer/tsa2/Rissues.htm ) to help me to fit ARIMA
models to my data. At the moment I have two possible methods to use.

Method 1
If I use

arima(ts.data, order=c(1,2,0), xreg=1:length(ts.data))

then the wrong value for the intercept/mean is given (checked on SPSS and
Minitab) and also, this is produced

In sqrt(diag(x$var.coef)) : NaNs produced

Which means that the t-values (for the coefficients) are NaNs, which in turn
means that the p-values are NaNs.

Although, using this method gives the correct forecast (using predict) and
enables ts.plot to show the forecast and 95% CI's.

Method 2
If I use

diff(diff(ts.dat))

and then apply an ARIMA(1,0,0) to it, then this gives the correct
coefficients but the forecasts are wrong (ie they are flat and do not follow
the trend).

Could anyone think of a way to get both the coefficients AND the forecasts
correct?

Thanks.


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