I had some problems fitting an ARIMA - the data are
The following link explains the problem and gives the solution
The solution sounded effective, untill I tried some $ARIMA(p,d,q)$ other than $ARIMA(1,1,0)$: with $ARIMA(1,1,1)$, $ARIMA(2,1,1)$ and $ARIMA(1,1,2)$ the procedure (1+) and the procedure (2) give different coefficients, in particular with the procedure (1+) it says that the AR part is not stationary (indeed changing method from 'css' to 'ml' the coeffiecient of $AR$ is 1 or above).
These are the codes for $ARIMA(1,1,1)$:
dFTSE<-diff(FTSE) model2<-Arima(dFTSE, order = c(1, 0, 1)) model2 model1pluscss<-Arima(FTSE,order=c(1,1,1), xreg=1:length(FTSE)) model1plusml<-Arima(FTSE,order=c(1,1,1), xreg=1:length(FTSE), method='ML') model1plusml
On the other side the two procedures produce the same output also in $ARIMA(0,1,1)$ and $ARIMA(0,1,2)$. Is there a theoretical explanation that I can't see or something else?