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I do not know if this question has been answered but I couldn't find anything similar. I am fitting an ARMA (1,1) on my log returns in R and I decided to use both R and SPSS to check my results. In R I used the following function and got this results

arima(x = data$Log_Change, order = c(0, 0, 1))

Coefficients: ma1 intercept 0.0410 -0.0064 s.e. 0.0198 0.0056

I then tried using SPSS but the estimate of the MA1 is the negative of the ARIMA in R

    ARIMA Model Parameters                              
                Estimate    SE  t   Sig.
Constant        -.006   .006    -1.138  .255
MA  Lag 1   -.041   .020    -2.093  .036

Can someone explain what am I doing wrong.


marked as duplicate by Glen_b r Mar 3 '18 at 12:45

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