I am trying to manually calculate the standard error of the constant in an ARIMA model, if it is included. I have referred to Box and Jenkins (1994) text, specially Section 7.2, but my understanding is that the methods mentioned here calculates the variance-covariance matrix for the ARIMA parameters only, not the constant. Tried searching on the Internet, but couldn't find any theory. Software like Minitab, R etc. calculate this, so I was wondering what is the way? Can someone provide any pointer(s) on this topic? Thanks.
arima() will fit a regression model with ARMA errors. The constant is treated as the coefficient of a regression variable consisting only of 1s. So you need the covariance matrix of the regression coefficients which is usually calculated separately from the covariance matrix of the ARMA coefficients. Look at Section 8.3 of Hamilton's "Time series analysis"