Python ARIMA exogenous variable out of sample

Question

I am trying to predict a time series in python statsmodels ARIMA package with the inclusion of an exogenous variable, but cannot figure out the correct way to insert the exogeno

Answer 1

If any one is using forecast function this worked for me for one step prediction.

history is training array

exog is external variable array

Y_exog_test is out of sample corresponding external variable. Change it to ARIMAX and it should work

model = sm.tsa.statespace.SARIMAX(history, trend='c', order=(1,1,1),seasonal_order=(0,1,0,24),exog=yexog)

model_fit = model.fit()

predicted = model_fit.forecast(step=1,exog=[[Y_exog_test]], dynamic=True)