I'm trying to do a Multivariate time series forecasting. The data set contains one dependent and independent variable.
From the cross-co relation the 0 day lag of the independent variable seems to have better correlation with dependent variable.
But I need some clarification on which function should use auto.arima() with xreg or arimax()
- While using auto.arima() to predict the dependent variable by using independent Variable on the xreg parameter,Do we need to have xreg 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 period