What should be the dimension of the 'X' matrix when fitting a ARIMAX(p,q) model?

I'm Fitting an ARIMAX(p,q) model to a time series data with one exogenous variable. What should be the length of the 'X' matrix that I need to specify?

Thanks!

Answer 1

[Gowtham Uma M Jaganathan]

I believe that in your question, 'X' corresponds to the exogenous predictor variable.

If you do not specify presample response data, then the number of rows of X must be at least numel(y,2) + Mdl.P. Where 'y' is Single path of response data and Mdl.P is the ARIMAX model. Otherwise, the number of rows of X should be at least the length of y.

If the number of rows of X exceeds the number necessary, then "estimate" function uses the latest observations and synchronizes X with the response series y.

All the above mentioned information are documented in the link below:

https://www.mathworks.com/help/econ/arima.estimate.html