I am fitting a regression model with ARIMA errors in
R using the
Arima function from the
forecast package. I assume that the function takes all predictors from a matrix that I assign to the
xreg argument. Thus regression is fitted using all of them and the output is produced accordingly.
Now, I appreciate that coefficients with high p-values are likely to have no impact on the overall outcome, however I would like to understand how I could fit a stepwise regression using
On a side note, how would I go about fitting a regularised regression (LASSO or ridge) with ARIMA errors -- either through
Arima function, or other means?