# ARIMA modeling with more than one Categorical Variable

I am using auto.arima for forecasting. I have more than one categorical variables having more than one level.

My questions are :

1. Do I need to do dummy coding ?

2. If I do dummy coding with my categorical variables, this will result into 20 variables. Is it good to have such number of variables in time series model.

3. How can I do variable selections?

I would appreciate any kind of help.

1. Yes, xreg must be a numeric vector or matrix, so you will need to code the dummy variables yourself.