[R] Discussion on time series analysis and the use and misuse of Differencing

[tomreilly]

How does the R module ARIMA account for unspecified deterministic structure
such as seasonal pulses, level shifts, local time trends and regular pulses
without needing to ask the user to intervene to specify this? 

I have attached a Makradakis paper which hammers Box-Jenkins approach to
this problem of nonstationarity. I have also included a recent discussion
from stackexchange which you might find even more interesting. 

http://stats.stackexchange.com/questions/12651/box-jenkins-model-selection/12662#12662

http://www.insead.edu/facultyresearch/research/doc.cfm?did=46900

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Tom Reilly
www.autobox.com

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