I'm trying to unravel the influences of various exogenous regressors on a time series dataset. I'm getting good results with a sarimax(1,0,0)(0,0,0,0) specification, but I'm confused about the mathematical specification behind this model. With this, I'm also questioning the interpretability of the coefficients. I'm using the
statsmodels.tsa.statespace.sarimax.SARIMAX package in python.
Literature gives me two options (see here):
Which model am I actually using?