ARIMAX times series with nonlinear input variable

[mmrekabdar]

Hi All,

I'm looking for SAS procedures that can help me to fit an ARIMAX model to my data when the exogenous variables(input variables) have a nonlinear relationship with the dependent variable (target time series).

To capture this non linearity I simply enter the interaction of exogenous variable with itself in the model, for example I enter X and X*X in the model.

I know in this way we could not capture all non linearity in ARIMAX models.

please correct me if you have any suggestion.

Thanks,

Marjan