Hi,
I'm trying to understand how the "trend" parameter affects the coefficients in the ARIMA model. Example dataset:
ts = np.array([1,1,3,2,2,5,5,6,7,6,9,10,11,15,11,14,16,15,16,19,23,24,25,24,27,28,28,27,24,27,28,29,33,32,34,37,39,40,39,43,49,46])
m1 = ARIMA(ts, order=(1,1,0)).fit()
m1.summary()
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0351 0.135 0.261 0.794 -0.229 0.299
sigma2 5.6271 1.446 3.892 0.000 2.794 8.461
m2 = ARIMA(ts, order=(1,1,0), trend='t').fit()
m2.summary()
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
x1 1.1251 0.269 4.190 0.000 0.599 1.651
ar.L1 -0.2741 0.162 -1.693 0.090 -0.591 0.043
sigma2 4.1145 0.884 4.652 0.000 2.381 5.848
m3 = ARIMA(ts, order=(1,0,0), trend='t').fit()
m3.summary()
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
x1 1.0151 0.029 34.495 0.000 0.957 1.073
ar.L1 0.6616 0.164 4.044 0.000 0.341 0.982
sigma2 3.6783 0.724 5.083 0.000 2.260 5.097
I thought trend='t' would be equivalent to fitting a constant to the differenced data, so shouldn't m2 and m3 show equivalent x1 coefficients?