 <p>Use the forecast package and use an ARIMAX function and specify the structure, it will be (1,0,0) in this case. The xreg argument will allow you to include additional covariates.</p> <p>It should look something like this..</p> <pre><code>library(forecast) fit &lt;- Arima(y, order=c(1,0,0),xreg = x) </code></pre>