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.
answered Apr 18, 2012 at 23:09
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$\begingroup$ Ah ok thank you, I wanted to enquire after reading this paper goo.gl/x8D3f on subset model selection. Thanks again for the response. $\endgroup$– user10745Commented Apr 19, 2012 at 10:19
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$\begingroup$ @Brandon Please, register your account and consider accepting this answer (green check mark). $\endgroup$– chlCommented Apr 19, 2012 at 11:32