forecasting in regARIMA for forward forecast

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azim
azim on 31 May 2020
hi,
i was using a regression model with arima(1,1) errors for forecasting log GDP using CPI for the indian economy data. i'am using the exact code as in the matlab example given in the documentation:
load Data_USEconModel;
logGDP = log(DataTable.GDP);
dlogGDP = diff(logGDP); % For stationarity
dCPI = diff(DataTable.CPIAUCSL); % For stationarity
numObs = length(dlogGDP);
gdp = dlogGDP(1:end-15); % Estimation sample
cpi = dCPI(1:end-15);
T = length(gdp); % Effective sample size
frstHzn = T+1:numObs; % Forecast horizon
hoCPI = dCPI(frstHzn); % Holdout sample
dts = dates(2:end); % Date nummbers
Mdl = regARIMA('ARLags',1,'MALags',1);
EstMdl = estimate(Mdl,gdp,'X',cpi);
[gdpF,gdpMSE] = forecast(EstMdl,15,'Y0',gdp,'X0',cpi,'XF',hoCPI);
the program works nicely for the data if i have to check against a holdout sample. my question is now i do not want to check the forecast against the holdout sample but simple give me a 15 period forward prediction from the current last data. what will this line be now:
[gdpF,gdpMSE] = forecast(EstMdl,15,'Y0',gdp,'X0',cpi,'XF',hoCPI);
what will be 'Y0','X0' and 'XF'?
as the above line checks for the holdout sample i want a forward forecast of the gdp using current values of gdp and cpi?
your help would be much appreciated.

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