How to use Categorical Variables in Multivariate Time series Forecasting?

The dataset AirQuality in the blog published in Analytics Vidhya has only numeric variables.
how should a categorical variable contribute to multivariate time series forecasting?

the categorical feature is to be label encoded (integer encoded) with LabelEncoder()
If df is name of the data frame and the 5th column is categorical variable, then

encoder = LabelEncoder()
df[:,4] = encoder.fit_transform(df[:,4])

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