# Exogenous Variables in Time Series Models

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!

You can use weekends/holidays dates as an xreg, recurring 0/lowest values is an example of the very thing you want your model to learn. But in my experience, simply try to use the X histogram (binned X) as an xreg, before you try anything. I found that fact after my months of confusion.