I am trying to build sparse coefficient time series models but couldn't find a good resource/book to learn from. Can anyone share with me a good resource/book? It will be great if it comes with R codes.Can anyone use this kind model? Thanks.
Are you familiar with the Lasso, Elastic Net and similar regularization techniques? The Lasso specifically is used in regression with many regressors to yield a result where "many" cofficients are zero, which looks like what you are aiming for.
I would recommend that you look into regularization and google for terms like "regularization technique time series technique".