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I wanted to ask whether it was possible to use the auto.arima function to identify subset ARIMA models rather than those of pure lags? I have identified a model in Stata in subset lags that performs well and wanted to cross check this with the auto.arima() function but I can't seem to figure out if subset lags are supported.

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No, auto.arima() does not allow for subset models. The FitAR package will automatically do subset AR modelling. I don't know of any R package that does automatic subset ARMA modelling. You can do manual subsetting, of course, with the arima() command in R by setting some coefficients to zero using the fixed argument -- see the help file for details.

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Ah ok thank you, I wanted to enquire after reading this paper goo.gl/x8D3f on subset model selection. Thanks again for the response. – user10745 Apr 19 '12 at 10:19
@Brandon Please, register your account and consider accepting this answer (green check mark). – chl♦ Apr 19 '12 at 11:32

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