I have hierarchical time series with 70 base time series, forming 4 level of hierarchies. I am using forecast() function in R from the package forecast.

The documentation reads:

When xreg and newxreg are passed, the same covariates are applied to every series in the hierarchy.

Is it possible to tweak, in such a way that correct regressors are used for individual time series?

Thank you very much.

  • 1
    $\begingroup$ Create your own forecasts using any method you like, then use combinef() to reconcile them. $\endgroup$ – Rob Hyndman Apr 12 '18 at 21:29

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