Hi,
In order to produce an autoregression where only certain lags are allowed,
specified in advance (e.g. c(1,2,5) ), I have found it necessary to look
beyond the standard [ar] function, thankfully discovering the [FitAR]
package, wherein the [FitARp] function provided exactly that capability.
However for my problem at hand, [FitARp] is vastly slower than [ar] -
taking hours rather than minutes. A lesser problem is that it recognises
only vectors and matrices, not [zoo] objects etc.
So I wonder:
1) Is there a further alternative with that capability?
2) Is there any way to derive a plain [ar] model from a [FitARp] model? I
imagine that should be possibe in principle, it should be just a case of
some coefficients being zero.
Any help/advice would be appreciated.
David Esp, UK.
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