AIC in ARIMA

noetsi

Fortran must die
#1
I ran into this in the context of ARIMA. I thought you could always use AIC, whether a model is nested or not - that is the advantage of AIC.

"AIC is used to evaluate ARIMA commonly. AIC criteria are only used to compare nested models. This means that the smaller model (e.g., 0, 1, 0)must be a subset of the larger model (1, 1, 0). The tests are not legitimately used to compare, for example, (1, 0, 1) and (0, 1, 0). And they could not be used to compare models in which a different value of d is generated by coding the IV differently."

I do not have a link (I gathered this many years ago).
 

noetsi

Fortran must die
#6
So in comparing a (1,0,0) model to a (0,0,1) model (which is not nested as far as I understand that) you could or could not use AIC? It seems like there are conflicting answers on that (but I am not sure). :)