I'm trying to do multivariate time series forecasting using the
forecast package in R. The data set contains one dependent and independent variable.
From the cross-correlation the 0 day lag of the independent variable seems to have better correlation with dependent variable.
But I need some clarification on which function I should use -
auto.arimato predict the dependent variable by using independent Variable as the
xregparameter in the
auto.arimafunction,Do we need to have
xregvalues in place already for the forecast periods?
Or Can we use
arimaxto predict the dependent variable along with a covariate even if there are no values available for the covariate on the forecast periods.