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.
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