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Allow forecasting with exogenous variables #372

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@jessegrabowski jessegrabowski commented Aug 11, 2024

Enable scenario-based forcasting in VARMAX, SARIMAX, and structural models with regressions.

Couple to-dos before its ready for review:

  • Carefully check the timing on the forecasting. Things seem to be shifted forward by 1 or 2 periods.
  • Recycle the exogenous forecasting code to allow in-sample counterfactual scenarios using sample_conditional_posterior or sample_conditional_prior.
  • Update relevant example notebooks to show how to use the scenario tools

Otherwise things seem to be working

@jessegrabowski jessegrabowski changed the title Allow forcasting with exogenous variables Allow forecasting with exogenous variables Aug 11, 2024
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@ricardoV94 ricardoV94 left a comment

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Perhaps show the use of the functionality in one of the NBs?

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