Armax Model Forecasting Leads To "valueerror: Matrices Are Not Aligned" When Passing Exog Values

I'm struggling with forecasting out of sample values with an ARMAX model. Fitting the model works fine. armax_mod31 = sm.tsa.ARMA(endog = sales, order = (3,1), exog = media).fit()

Solution 1:

Ah, I see the issue. You need to pass in past data too. E.g., if you want to predict 12 steps of an ARMAX(2,q) model then exog should be of length 14. You need the two extra lags to be able to predict 1 step out. So if you ensure exog is 2d, this should work as expected.

I can't see anyway around this, but let me know if you think there's something to improve here. For now I'll note it in the docs.

[Edit: I realized this requirement was stupid. You no longer have to supply any in-sample variables when using ARMA forecast https://github.com/statsmodels/statsmodels/pull/1124.]