[Rd] bug in arima? (PR#9404)

[murdoch at stats.uwo.ca]

On 11/30/2006 2:20 PM, aim at stats.uwo.ca wrote:
> I don't think arima works exactly the way one would expect when there is differencing.  What I think should happen is that by 
> default the mean of the differenced series is estimated and if include.mean=F, then it is not.  This is not what happens.  Instead 
> when there is differencing the include.mean argument is ignored.

But it's working as documented, so this is not a bug.  I'd be very 
reluctant to change the meaning of that parameter.

Duncan

> Now I guess, someone could argue that the mean of the original series doesn't exist when using a model with differencing.  In this 
> case, then the arima function doesn't conveniently estimate models with deterministic drift like the ARIMA(0,1,1) with drift.  Such 
> models are occassionally important.
> 
> As a workaround, one can do the differencing outside of arima.  But I don't think things should work like that!
> 
> Most other time series software doesn't do this.