title: Why does my ARIMA model work (2,0,3), but not in the first difference (2,1,3)?
body: <p>What to run an arima function in the first difference (2,1,3), but i keep getting an error message. However, if i run it without the differencing (2,3) it works. What am I doing wrong. </p>
  
  <p>Data= <a href="https://docs.google.com/spreadsheets/d/1cQvoI9kuF4wNEDBcJjDz5x60wgLSNjjBpECGJ0TnJYo/edit#gid=0" rel="nofollow noreferrer">https://docs.google.com/spreadsheets/d/1cQvoI9kuF4wNEDBcJjDz5x60wgLSNjjBpECGJ0TnJYo/edit#gid=0</a></p>
  
  <pre><code>y=data[1:504] 
  s=12
  st=c(1976,1)
  y=ts(y,frequency = s,start=st)
  </code></pre>
  
  <p>Create seasonal dummies for the time series.</p>
  
  <pre><code> S2 = rep(c(0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0), T/s)
      S3 = rep(c(0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0), T/s)
      S4 = rep(c(0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0), T/s)
      S5 = rep(c(0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0), T/s)
      S6 = rep(c(0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0), T/s)
      S7 = rep(c(0, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0), T/s)
      S8 = rep(c(0, 0, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0), T/s)
      S9 = rep(c(0, 0, 0, 0, 0, 0, 0, 0, 1, 0, 0, 0), T/s)
      S10 = rep(c(0, 0, 0, 0, 0, 0, 0, 0, 0, 1, 0, 0), T/s)
      S11 = rep(c(0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 1, 0), T/s)
      S12 = rep(c(0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 1), T/s)
  
  TrSeas = model.matrix(~ t+S2+S3+S4+S5+S6+S7+S8+S9+S10+S11+S12)
  TrSeas 
  </code></pre>
  
  <p>This model works</p>
  
  <p>ar3.model = arima(y,order = c(2, 0, 3),include.mean = FALSE,xreg=TrSeas)</p>
  
  <p>The one in first difference does not </p>
  
  <pre><code>arima213=Arima(y,order = c(2,1,3),xreg = TrSeas,include.mean = FALSE,include.drift = TRUE,method = "ML")
  </code></pre>
  
  <p>This gives me the following error message:
  Error in optim(init[mask], armaCSS, method = optim.method, hessian = TRUE,  : 
    non-finite value supplied by optim</p>