I'm building an ARIMAX model with two time series: one has been differenced to make it stationary, while the other is already stationary and has more observations. How can I align these two series with different lengths so they can be used together in an ARIMAX model, and what’s the best approach to handle this in R?
1 Answer
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you need use ARMAX model, i.e. without integration, then align the differences and stationary series. you can't selectively apply differencing to elements of the vector of series in standard ARIMA.