Let $R$ be a ring, and $u=(u(0),u(1),u(2),...)$ be a sequence over $R$ ($u(i)\in R$). Let $m\ge1$, $c_0,...,c_{m-1}\in R$ be fixed elements, and the following law of recursion holds $$u(i+m)=c_0u(i)+c_1u(i+1)+...+c_{m-1}u(i+m-1).$$ Now, we consider some regular selection from the sequence $u$, i.e. the sequence $$v(i)=u(l+d\cdot i),\ \ i\ge0,$$ for some fixed $l\ge0$, $d\ge1$.
Is there exists some law of recursion (similar to above) for the sequence $v$. If $R$ is a finite ring, then $u$ is periodic and $v$ is periodic, so it is obviously true. Also it's true for $m=1$. But if $R$ is infinite and $m\ge2$?
If $R$ is commutative, then yes there is one with the same length.
The space of sequences $R^\Bbb N$ is naturally a $R$-module ($(u+v)(n) = u(n)+v(n)$ and $(r.u)(n) = r.u(n)$)
Let $T : R^\Bbb N \to R^\Bbb N$ be the translation-by-$1$ operation, defined by $(T(u))(n) = u(n+1)$.
This is an $R$-linear map, so there is a natural action of the polynomial ring $R[T]$ on $R^\Bbb N$, that is induced by $T.u = T(u)$.
Now in this context, for a sequence $u$, you have
$\forall i, u(i+m)=c_0u(i)+c_1u(i+1)+...+c_{m-1}u(i+m-1) \\ \iff \forall i, T^m(u)(i) = c_0 u(i) + c_1 T(u)(i) + \ldots + c_{m-1}T^{m-1}(u)(i) \\ \iff \forall i, (T^m(u) - c_{m-1} T^{m-1} - \ldots - c_1 T - c_0)(u)(i) = 0 \\ \iff (T^m(u) - c_{m-1} T^{m-1} - \ldots - c_1 T - c_0).u = 0$
That is, linear recurrent sequences are sequences that are annihilated by the action of a given polynomial in $T$.
So you are given that a sequence $u$ and a polynomial $P(T)$ such that $P(T).u = 0$, integers $d \ge 1,l \ge 0$, and you are asking if there is another polynomial $Q$ such that $(T^lQ(T^d)).u = 0$.
If you find such a $Q$ when $l=0$, the same polynomial will work for $l \ge 1$ so $l$ really doesn't matter here.
Given a sequence $u$, $\{P \in R[T] \mid P.u = 0 \}$ is an ideal of $R[T]$, so your question now becomes "if $P(T) \in R[T]$, is there a multiple of $P$ of the form $Q(T^d)$ ?"
Now, if $K$ is the algebraic closure of the field of fractions of $R$ and $d$ is coprime with the characteristic, $K(T)$ is a Galois extension of $K(T^d)$ of degree $d$, there is a norm map $N_d : K(T) \to K(T^d)$ so you can simply look at the norm of $N_d(P(T)) = \prod_{\zeta^d=1}P(\zeta T) \in K(T^d)$.
If $d$ is a power of the characteristic, then you can simply take $P(T)^d = P(T^d) \in K(T^d)$.
And you have to do both in succession in the general case.
Anyway, this also works over $\Bbb Z$, so for every $m$ and $d$, there is a big formula that gives the coefficients of $Q$ as polynomial expressions with integer coefficients in the coefficients of $P$. Also, it is enough to have the formulas when $d$ is prime, where you can do the computation of $N_d(P(T))$ over $\Bbb Z[\zeta_d] = \Bbb Z[Z]/(1+Z+\dots+Z^{d-1})$. And we have (from the characteristic $d$ case) $N_d(P(T)) \equiv P(T)^d \pmod d$