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.