I have an ARIMA model, I'm trying to figure out how much an external variable (exogenous covariate) could improve the forecast, so I need to "synthesize" a rate that tell me the usefulness (or impact) of a new external regressor. Does anyone know a good way to do it?
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Richard Hardy
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Raffaele Giannella
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Here is one way https://stats.stackexchange.com/questions/124533/transfer-function-in-forecasting-models-interpretation/125108#125108 – forecaster Sep 20 '19 at 13:51