Time Series Methods That Incorporate Categorical Variables


Would anyone be able to recommend time series forecasting methods that I could explore to incorporate monthly historic ENSO values as well as future ENSO forecasts from NOAA?

I use fable to develop SARIMAX models for monthly business data. As far as I know categorical variables cannot be used for SARIMAX models. I will be working on a forecasting project where I know there is a strong relationship between the monthly ENSO cycle (La Nina, El Nino, Neutral) and the dependent forecasting variable.


Categorical variables can certainly be used as the X part of a SARIMAX model. They are exogenous, i.e. not forecasted.

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