Is there a way to use the

transform_exog

function within the

MLForecast

function like you do

lag_transforms

? So far my efforts haven't worked and when I do it before and preprocess I have issues when I get to the

predict

step where it expects me to supply the exogenous variables. I do have other exogenous variables I am supplying, but I'm also using the

transform_exog

on them. Hope this makes sense. The documentation doesn't seem to show it that way--only preprocessing series data. I was able to use this to figure out how to do it with preprocessing mentioned above, but hoping there's something I've missed to do it within the

MLForecast

function.

Hey. I think you'd need to split the output of the transform exog in train and test and then provide the test through X_df in predict

Ok. I wondered if that might be the case. I'll look into/work on it. Thanks @José Morales

Please let us know if you struggle with it so that we can review if it should behave differently