Hello,
I'm looking to try and lot the affect that a piece of monthly data called BOG has on the price of an index.
To the best of my understanding i could use the ARIMA model in order to predict how either one of these figures grows. However, how do i use the ARIMA model to see how one series of monthly data affects the other and predict future prices?
Hope this makes sense i can provide some data if it helps. I'm currently using minitab and SPSS to work it out and this is a list of some of the sources i'm using to try and work this out:
http://delbecque.free.fr/chap07%20-%20ARIMA.pdf
ARIMA models with regressors