xreg with predicted values

[config-i1]

There should be a mechanism of defining, which variables should be predicted and which should be used as is. A method preparing explanatory variables is needed.

When the variable is marked for prediction this is what should happen inside the function:

1. Predict each marked explanatory variable;
2. Use fitted values for the estimation;
3. Use point forecasts for forecasting;
4. Use covariances between variables for the variance calculation;
5. Use (3) and (4) for the final forecasts.

The related issue: how to make this work with pure multiplicative and mixed models.

[Steviey]

+1

[config-i1]

This related to the project https://github.com/config-i1/greybox/projects/2