TS Covariate Forecast Tool

The TS Covariate Forecast tool provides forecasts from an ARIMA model estimated using covariates for a user-specified number of future periods. In addition, upper and lower confidence interval bounds are provided for two different (user-specified) percentage confidence levels. For each confidence level, the expected probability that the true value will fall within the provided bounds corresponds to the confidence level percentage. In addition to the model, the covariate values for the forecast horizon must also be provided.

In some instances, the accuracy of time series forecasting model can be improved through the use of covariates (predictor variables other than past values of the target variable itself). For example, if a home appliance maker is interested in forecasting sales levels in their commercial sales division (i.e., appliances for new residential construction) then an important covariate for forecasting sales is likely to be past values of residential housing starts since appliances are among the last items placed into a new home. The TS Covariate Forecast tool allows for the creation of forecasts from ARIMA models that include covariates.

This tool uses the R programming language. Go to Options > Download Predictive Tools to install R and the packages used by the R Tool.

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