How to include a few selected AR terms

First of all, the order specified is the maximum required order so in your
case the logical arima call would be:
arima(zt,order=c(2,0,1)) 
This still includes the AR(1) term, which can be excluded using the fixed
command.
Assuming you have 4 parameters (AR1 AR2 MA1 Intercept) this is the solution:
arima(zt,order=c(2,0,1),fixed=c(0,NA, NA, NA)) 

Suppose you wanted the AR1, AR6, MA1 and intercept, this would be your call:
arima(zt,order=c(2,0,1),fixed=c(NA,0,0,0,0,NA, NA, NA)) 

Hope this helps,
Dennis Jaheruddin

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