Bill Murray and director Richard Donner reportedly did not enjoy working together, creating a lot of tension on-set. When asked by film critic Roger Ebert if he had any disagreements with Donner, Murray replied: "Only a few.  Every single minute of the day. That could have been a really, really  great movie. The script was so good. There's maybe one take in the final  cut movie that is mine. We made it so fast, it was like doing a movie  live. He kept telling me to do things louder, louder, louder. I think he  was deaf."

Filming began in December, 1987. With Christmas approaching, director Richard Donner asked if the production could have Christmas Day off. But "Paramount  Pictures" executives refused, insisting that filming should continue on  Christmas Day. However, Donner outwitted them. At the end of the day on  December 24, 1987, he officially fired the entire cast and crew. Two  days later, on December 26, he officially re-hired everyone. The break  allowed the cast and crew members to spend Christmas with their  families.

Bill Murray ad-libbed most of his lines. In a 1988 interview with Philadelphia Daily News, Richard Donner discussed Murray's penchant for improvisation and described the  experience of directing Murray as follows: "It's like standing on 42nd  Street and Broadway, and the lights are out, and you're the traffic  cop."