arima expects an order 4 model by specifying order=c(4,0,0). It looks like you want to fit an order 6 model with parameters 2 and 3 fixed to 0. Try order=c(6,0,0) and fixed=c(NA,0,0,NA,NA,NA,NA), the last NA is for the intercept.
Henning
Jenn� Brynjarsd�ttir wrote:
Hello
I want to fit an AR model were two of the coefficients are fixed to zero (the second and third ar-coefficients).
I used the "arima" function with the "fixed" argument but the ar3 coefficient is not set to zero:
==============================================
arima(Y, order=c(4,0,0), xreg=1:23, fixed=c(NA,0,0,NA,NA,NA))
Call: arima(x = Y, order = c(4, 0, 0), xreg = 1:23, fixed = c(NA, 0, 0, NA, NA, NA))
Coefficients: ar1 ar2 ar3 ar4 intercept 1:23 0.5370 0 0.4338 -0.8078 5.2991 -0.0421 s.e. 0.0735 0 0.0000 0.1096 0.1081 0.0079
sigma^2 estimated as 0.02665: log likelihood = 6.77, aic = -3.54 ===============================================
Why?
Thanks, Jenn� Brynjarsd�ttir
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