I got some clue here Large coefficients and std. errors
Without scaling the dependent variable (online_unit_sale) my output is as below. Flag1 and Flag2 are the covariates and their coefficients are in thousands. However scaling DV lowers the coefficients.
auto.arima(ts_data,xreg = regressor) Series: ts_data Regression with ARIMA(4,1,2) errors Coefficients: ar1 ar2 ar3 ar4 ma1 ma2 Flag1 Flag2 0.1464 0.1650 0.0041 -0.0594 -0.2069 -0.7684 5891.982 10600.219 s.e. 0.1228 0.1172 0.0916 0.0791 0.1073 0.1065 3479.626 3436.101 sigma^2 estimated as 63660026: log likelihood=-2421.42 AIC=4860.85 AICc=4861.66 BIC=4891.91
My query is even for flag variable which are just 0 and 1 is it ok to get large coefficients?