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Can anybody give me a simple explanation of the differences among the following:

  1. ARIMAX model
  2. Regression with ARIMA errors
  3. Transfer function model

Please provide some references if you can.

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  • $\begingroup$ See robjhyndman.com/hyndsight/arimax $\endgroup$ – Rob Hyndman Jul 21 '15 at 1:01
  • $\begingroup$ @RobHyndman quick question, does this article mean that regression with ARIMA errors is equivalent to transfer function model or is it special case of transfer function model ? $\endgroup$ – Spandy Jul 21 '15 at 2:51
  • $\begingroup$ A special case. $\endgroup$ – Rob Hyndman Jul 21 '15 at 5:21
  • $\begingroup$ @RobHyndman Professor, what are the implications of autocorrelated exogenous input on ARMAX models? Can we use them as-is, if not what should be done during modeling? $\endgroup$ – Cagdas Ozgenc Aug 11 '15 at 12:44
  • $\begingroup$ Please do not use comments to ask new questions. $\endgroup$ – Rob Hyndman Aug 12 '15 at 0:35

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