ARIMA model for certain lags

Question

I want to estimate parameters for an ARIMA model. I do this in python with the arima function. Now, I want to remove the non significant lags. For instance, I only want the lags 1 and 3. But by order I can only give the total lags. (Hence, if I say p=3, then I get lag 1, 2 and 3) How can I solve this?

model = ARIMA(R_bel, order=(3,0,1))
model_fit = model.fit(disp=0)
print(model_fit.summary())

Thank you

Answer 1

If you want only specific list of lags like 1 & 3 as AR components, then you can do that in the following way

model = ARIMA(R_bel, order=((1,0,1),0,1))

For details you can check the documentation having details of order in SARIMAX and ARIMA - SARIMAX docs is a little bit more detailed, however the underlying meaning is same in both