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Hi @John Lashlee I executed the how-to-guide on exogenous regressors using the M5 data that is used as an example and I didn’t get the warning that you got. Could you share a reproducible example? If you can’t, can you check that your dataset contains both past and future values of the exogenous regressors? Maybe that is what is causing that warning.

Thanks, Maria, I'll try to make a repro example.