[R] ARIMA models

[Arun.stat]

To me what is looking most exotic is the different orders of integration of
your models, which you are assuming starting from 1 through 5. All
asymptotic results regrading the distribution of the model parameters based
on the fact that original DGP has exactly 1 as the order of integration,
because most of the real life scenarios which are non-stationary in nature
can be well approximated with that. Therefore perhaps usual t-values can not
be justified once you cross the limit as 1.

Apart from that, in my belief you can just go ahead with different
combinations of p and q parameters and choose the optimal one (based on some
pre-fixed criteria like AIC/BIC or non-significance of model coefficients).
However in each experiment you should fix the initial values of the time
series and should keep it same for all experiment.

Best regards,
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