I am confused as to the relationship between a non-stationary ARIMA(1,1,0) [integrated autoregressive moving average (p,d,q)] and an ARMA.
1st off this question says the process is an ARIMA(1,1,0). Is the zero necessary. Isn't this just an ARI(1,1)?
[NEAS: Correct; ARI is an abbreviation for an ARIMA process with q = 0]
An ARIMA(p,d,q) process can be rewritten as am ARMA(p+1,q) process (Cryer Chan page 92).
[NEAS: No, and Cryer Chan do not say this. The first differences of an ARIMA process with d = 1 are an ARMA process of the same order.]
So how can this non-stationary ARIMA(1,1,0) be put into terms of an AR(1)? Shouldn't it be an AR(2)?
[NEAS: The first differences of ARIMA(1,1,0) are an AR(1) process.]
Also, no where in the Module 15 reading does it mention 1st differences. I have come across modules like this before where the reading does not match up with the homework assignments very well. I came across this with the QQ plots in module 14. I am growing frustrated with doing readings where the corresponding homeworks come out of left field.
[NEAS: Cryer Chan discuss first differences throughout their text, beginning in chapter 5.]
Tom McNamara III