# How to fit El Nino SST data (as an exogenous data) in ARIMA modeling in R

I am working on time series forecasting of monthly averaged rainfall data (from a rainfall subdivision in India) using ARIMA methodology in R. But, in order to improve the forecast result, I want to include the (time series) data from El Niño Sea Surface Temperature (SST) data as an exogenous input in ARIMA model. Currently, I have the SST time series data with me, but I'm struggling with how to incorporate these data inputs as "xreg" in my ARIMA model i.e can I directly use the SST anomaly data values in "xreg"?

This is my data:-

    ts.rain1 <- ts(RData$Rainfall, frequency = 12, start = c(1950,1)) ts.nino <- ts(NData$SST, frequency = 12, start = c(1949,1))


Training and Test sets:-

    data.train <- window(ts.rain1, start = c(1950,1), end = c(1995,12))
data.test <- window(ts.rain1, start = c(1996,1))
ninodata.train <- window(ts.nino, start = c(1949,4), end = c(1995,3))
ninodata.test <- window(ts.nino, start = c(1995,4))


And the arima code:-

    arima2 <- Arima(data.train, order = c(4,0,4), seasonal = list(order = c(2,0,1)), xreg = ninodata.train)


Yes, you can do that. If you simply feed the data into xreg, then Arima() will fit a regression on your predictor with ARIMA errors. (This is not an ARIMAX model. See here.)
I would recommend that you use auto.arima() from the forecast package, which will try to automatically find the best model. An ARMA(4,4) model looks rather large to me.
• Arima() will fit a regression of your dependent variable on the predictor(s) you feed into xreg. After that, it will fit an ARIMA model to the residuals of the regression. – Stephan Kolassa Mar 19 '18 at 19:58