[R] Fixed parameters in an AR (or arima) model

[Jenný Brynjarsdóttir]

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,
Jenný Brynjarsdóttir