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.