Does a univariate ARIMA model become mulitvariate when I add exogenous variabels to the function? I did this in r with the function xreg

Question

Does a univariate ARIMA model become mulitvariate when I add exogenous variabels to the function? I did this in r with the function xreg.

For example: fitwithtwoexfactors = arima(futoilrtn,order=c(0,0,1), xreg=exogenous)

exogenous is a data frame with two columns.

As you analyze two variables at a time, I would say, it is a bivariate and so a multivariate model. — DatamineR, Mar 12 '15 at 00:49
Thank you! Does this follow for an ARMA model as well. I understand that the I in ARIMA is the back shifter operator, but my time series is already stationary so I believe this is an ARMAX and multivariate if I have multiple exogenous variables. — user3553260, Mar 14 '15 at 18:16

score 1 · Accepted Answer · answered Mar 18 '15 at 13:44

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An ARIMA model does not become a multivariate model. Multivariate models are models with two or more dependent variables. The objective of the exogenous variables is to hopefully make better predictions of the future by minimizing MSE.

answered Mar 18 '15 at 13:44

user3553260

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Does a univariate ARIMA model become mulitvariate when I add exogenous variabels to the function? I did this in r with the function xreg

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