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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