HI,

I am looking for a function or a method that allows me to use lags
selectively in an ARMAX process

while doing time series modelling.

To do the ARMA modelling of the data, I’ve used the following function to
choose only the selective

lags where the ACF/PACF was significant where dal is the time series data
for aluminium.

dal.arma= arma(dal, lag=list(ar=c(1,26),ma=c(1,4,7))) ; summary(dal.arma)

With the ARMAX function of R, I can’t take selective lags, and the function
estimates the coefficients

on all the lags in between. Hence the function estimates all 26 lags for AR
and all 7 for MA, giving me

no freedom to choose lags in between when I want to do ARMAX.

al.armax= armax(dal, order=c(26,0,7), xreg=xreg) ;   where xreg is a
data.frame type object consisting

of lagged series of exogenous variables.

But, I want only ar1, ar26, ma1, ma4 and ma7 along with the exogenous
variables. Any idea how to

solve this? Any help would be greatly appreciated. Thanks!

-- 

Aparna Roy

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