I recently came across a problem where I want to predict a timeseries let's refer to it as T1 but it seems that two other time series, let's call them T2 and T3 have some predictive power on the T1 time series.
Now the question came up, I can use either multivariate analysis and include the series T2 and T3 as endogenous variables or I can include them as exogenous. I have been reading around here and there but I did not come up with a clear answer on when to use which and given my data which approach is more suitable.
I would also be interested in the details on how SARIMA (for example) treats endogenous vs exogenous variables and how these choices influence the forecasting of my main time series T1.
I hope everything was clear. Thanks a lot and please let me know if there is already some answer to that!