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.arima
with xreg
or arimax
.
While using
auto.arima
to predict the dependent variable by using independent Variable as thexreg
parameter in theauto.arima
function,Do we need to havexreg
values in place already for the forecast periods?Or Can we use
arimax
to predict the dependent variable along with a covariate even if there are no values available for the covariate on the forecast periods.