Dear all, 

 

I am fitting an arimax (arima with some extra explanatory variables)
model to a time series. Say, I have a Y (dependent variable) and an X
(explanatory). 

Y is 100 observations (time series) and X is 100 + 20 (20 to use for the
forecast horizon). 

 

I can not make xreg work with the forecast function for  an arima fit.

The "predict" function seems to be working but the "forecast" returns 

 

> Error in predict.Arima(object, n.ahead = h) :   'xreg' and 'newxreg'
have different numbers of columns...

 

Xreg is a time series of explanatory variables of the same length of the
dependent and  newxreg should be as long as the forecast horizon (same
number of explanatory variables). Is this right?

 

Or should xreg be: X[1:100] and newxreg X[101:20], i.e. use different
segments of the same regressor ??? 

 

In other words, can/should newxreg and xreg be different variables as
long as their lengths are according to the forecast horizon specs? This
doesn't seem to work...

 

Any scripts/demos would be extremely welcome.

 

Thanks,

COstas


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