Forecasting with VARMAX when there are exogeneous variables

[ceylan]

Hi,

In VARMAX model, there can be Y(t) and also X(t) in the model. So, we need the forecast of X(n+1) to be able to find forecast of Y(n+1).

I wonder how can I incorporate the forecasts of exogeneous variables into the forecasts of dependent variables?

Or how SAS is dealing with the forecasts of dependent variables when there are exogeneous variables in the model?

Best regards,

Ceylan

[stat_sas]

You can incorporate forecasted values of X(t) as an exogeneous variable in the VARMAX model to find forecast of Y(t).