Statsmodels - ARIMA with exogenous regressors

nhs_example.ipynb

It looks like you want to model a pulse to the intercept, which would imply a change to the mean that slowly dies out according to the dynamics from the lag polynomial. If so, this isn't immediately available with the SARIMAX class, because as I said above, it models exog as affecting the mean of the process.

You could create the intervention manually to be a pulse that dies out slowly, but the problem is that they you would have to specify that process, rather than letting it follow from the model dynamics.

Possibly a better way is to create a subclass that models exog as affecting the intercept rather than the mean (if this is in fact what you're looking for). In practice, this just means putting the beta * exog term into the state_intercept rather than the obs_intercept component of the state space system. However, this may be more work than you are wanting to do.

Okay, thanks a lot! I'll see what makes sense. Moving the beta*exog sounds possible at first glance.