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Probably a bit of a basic question but I have two time series and basically just wish to use one as an explanatory variable for the other. So my question is which methods out there are most appropriate for this? I've been reading around on ARIMAX and that sounded promising but my head is spinning somewhat.

Some info on the datasets, one is stationary and the other is not, both have equal numbers of observations and no missing values, probably going to be doing this using R, if that makes a difference.

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Take a look at the autoregressive distributed lag (ADL) model.

Description:

Instead of only using the dependent variable's lags as predictors, an autoregressive distributed lag (ADL) model also uses lags of other variables for forecasting.

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