I found that in the forecast package in R that I can easily incorporate an exogenous variable Y in my ARIMA model meant to forecast X. While I have a general understanding of the kind of process I need to go through in order to determine the right ARIMA model on X, I'm not sure what I need to understand about Y in order to incorporate it as an exogenous variable.I was wondering if anybody could help me understand the implications of having this variable in my model and whether there are any tests/checks I can perform to determine whether it's a good idea to have it in my model (other than my intuition and subject matter understanding). Any reading material on this would be helpful. Thanks!
Exogenous Variables in Time Series Models
r;time series;forecast