I'm trying to fit an ARIMA model to housing data set. Playing around with the p's and q I was able to get an ARIMA Model (2,1,2,)(2,0,0) with an AIC value of AIC=4946.76 I used auto.arima to see if I picked the best model. auto.arima picked the (2,1,3)(2,0,0) model that had an AIC value of AIC=4948.21 .
Then I looked at the values for both models to see with the difference was between the two. The ARIMA (2,1,2)(2,0,0) model had an error
Warning message: In sqrt(diag(x$var.coef)) : NaNs produced
My question is why did auto.arima pick the (2,1,3)(2,0,0) model instead of (2,1,2)(2,0,0)?