[Rd] Fix for bug in arima function
pperry at stern.nyu.edu
Mon Apr 20 18:34:26 CEST 2015
There is currently a bug in the arima function. Namely, for arima models with differencing or seasonal differencing, the innovation variance estimator uses the wrong denominator whenever xreg is non-null. This is the case, for example, when fitting an ARIMA(p,1,q) model with a drift term (common in financial applications). I reported the bug (and a fix) at https://bugs.r-project.org/bugzilla3/show_bug.cgi?id=16278 , but my report may have fallen through the cracks due to the timing around the 3.2.0 release.
The bug was introduced in the patch displayed here:
The fix is very simple:
I’ve posted a script that demonstrates the bug at
Please let me know if there’s anything I can do to help get this fix incorporated.
Stern School of Business
New York University
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