There is often confusion about how to include covariates in ARIMA models, and the presentation of the subject in various textbooks and in R help files has not helped the confusion. So I thought I’d give my take on the issue. To keep it simple, I will only describe non-seasonal ARIMA models although the ideas are easily extended to include seasonal terms. I will include only one covariate in the models although it is easy to extend the results to multiple …