I am currently using XGBoost to predict sales in the future. My time series data is given per week interval. But I am not sure how can I do multistep forcasting using XGBoost. I split my data set into train and test and after training the model I use my test set to predict the sales. But I only get prediction on the actual values that I have not on the future weeks that are beyond the test set. Here are some code for clarification:
# train-test split
X_train, X_test, y_train, y_test = train_test_split(X, y,
test_size=0.3,
random_state=0,
shuffle=False)
reg = xgb.XGBRegressor(objective='reg:squarederror', n_estimators=1000, nthread=24)
reg.fit(X_train, y_train)
# predicting
predictions_xgb = reg.predict(X_test)
Can I get some help on this?