Estimation of the degree of differencing of an ARIMA process

Summary A method of estimating the degree of differencing of an ARIMA process is proposed. This is based on fitting an AR model to the original and to each differenced series and calculating the residual sum of squares. As an application, we suggest an identification method of an ARI (p, d) process combining our method of estimating the degree of differencing with Akaike's Information Criterion.