[pystatsmodels] Multivariate model

[Georgios Boumis]

Hello again,

I have a question regarding Multivariate ARIMA. If I fit a SARIMAX model to a data serious and I include an exogenous variable, is it like simulating a multivariate model? because I seem to get better predictions when using the exog...

[Chad Fulton]

Post by Georgios Boumis
Hello again,
I have a question regarding Multivariate ARIMA. If I fit a SARIMAX model
to a data serious and I include an exogenous variable, is it like
simulating a multivariate model? because I seem to get better predictions
when using the exog...

I’m not quite sure I know what distinction you’re getting at here. If you
use ‘exog’ then it is a multivariate model in the sense that it is using
multiple variables, but it is not a multivariate model in the sense that
the exog variables are treated as unmodeled.

Typically one would expect the in sample fit to not be worse with exog,
since if the exog are completely unhelpful, the model can always set the
coefficient to zero.

Best,
Chad