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robjhyndman / forecast

Forecasting Functions for Time Series and Linear Models
http://pkg.robjhyndman.com/forecast
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Differentiation xregs in Arima #948

Closed CorRuckDS closed 10 months ago

CorRuckDS commented 10 months ago

Hi,

I am trying to do something similar to this:

model <- forecast::Arima(y = y, xreg = xreg, order = c(2, 1, 1))

The parameter d is equal to 1, so I understand that the dependent variable will be differenced. Will the independent variables in xreg also be differenced?

I have not found a concise answer to this question.

Thanks

robjhyndman commented 10 months ago

Yes, all variables are differenced as explained here: https://otexts.com/fpp2/regarima.html