Those are not "very" different.  I would suspect they are within 
computer rounding error.  Only numbers of log2 can be represented 
exactly, could that be it?  Did you compiled the two versions 
differently, or could something have changed between 2.11.1 to 2.12.2 - 
both of which are old versions of R?  If you provide a reproducible 
example I will gladly run it to compare your results with 2.13.1.  Maybe 
somebody else will have a more helpful response.
FWIW,

Stephen Sefick

On 09/09/2011 04:43 PM, Luis Felipe Parra wrote:
> Hello , I have estimated the following model, a sarima:
>
> p=9
> d=1
> q=2
> P=0
> D=1
> Q=1
> S=12
>
>
> In R 2.12.2
> Call:
> arima(x = xdata, order = c(p, d, q), seasonal = list(order = c(P, D, Q),
> period = S),
>      optim.control = list(reltol = tol))
>
> Coefficients:
>           ar1     ar2      ar3     ar4     ar5     ar6      ar7      ar8
> ar9
>        0.3152  0.8762  -0.4413  0.0152  0.1500  0.0001  -0.0413  -0.1811
>   0.0646
> s.e.  0.0865  0.0885   0.1141  0.1181  0.1196  0.1220   0.1120   0.0908
>   0.0865
>            ma1      ma2     sma1
>        -0.0221  -0.9779  -0.7635
> s.e.   0.0539   0.0534   0.0834
>
> sigma^2 estimated as 1.965e+17:  log likelihood = -3316.07,  aic = 6658.13
>
>
> and in In R 2.11.1
> Call:
> arima(x = xdata, order = c(p, d, q), seasonal = list(order = c(P, D, Q),
> period = S),
>      optim.control = list(reltol = tol))
>
> Coefficients:
>           ar1     ar2      ar3     ar4     ar5    ar6      ar7      ar8
> ar9
>        0.3152  0.8761  -0.4413  0.0153  0.1500  0.000  -0.0413  -0.1810
>   0.0646
> s.e.  0.0865  0.0885   0.1141  0.1181  0.1196  0.122   0.1120   0.0908
>   0.0865
>            ma1      ma2     sma1
>        -0.0221  -0.9779  -0.7635
> s.e.   0.0539   0.0534   0.0834
>
> sigma^2 estimated as 1.965e+17:  log likelihood = -3316.07,  aic = 6658.13
>
> and as you can see in the results some coefficients (for example ar2 and
> ar8) are different in the different R versions. does anybody know what might
> be going on. Was there any change in the arima function between the two
> versions?
>
> Thank you
>
> Felipe Parra
>
>
>
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> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.


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