According to Jim Episode 2.24 No Harm No Fowl

A trained bird flies into Andy's head in the backyard and Gracie adopts it as her bird pet, Daphne. The bird is driving everyone insane and they all can't wait to get rid of it, but unfortunately Gracie developed a deep emotional attachment to it. When someone leaves the window opened and the bird flies out in the middle of the night, Jim and Andy team up to go look for it at the park the next morning. When they spot the bird, their first reaction is not to tell Gracie, but Jim doesn't want to lie to his daughter anymore. Later, the real owner show up at the house and Gracie is forced to say goodbye to her feathered friend. Or is the thought of running away to Mexico more appealing than that?