[R] Refine ARMA model

From: Chuse chuse <chuse22_at_gmail.com>
Date: Wed, 02 Mar 2011 16:19:15 +0200

Dear users,

I tried to fit an AR(2) model to data. This the result:
> arima(vw,c(3,0,0))

arima(x = vw, order = c(3, 0, 0))


         ar1      ar2      ar3  intercept
      0.1052  -0.0102  -0.1203     0.0099
s.e.  0.0337   0.0339   0.0338     0.0018

sigma^2 estimated as 0.002934: log likelihood = 1293.16, aic = -2576.33

Now, ar2 is not significantly different from zero. I would like to refine the model considering ar1 and ar3 only so I fit a model x[t]=c+m*x[t-1] + n*x[t-3].

Anyone could help me and tell me how to do it? Thank you very much. Chuse

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