It may be something as simple as food allergies. Our foster was extremely itchy when we got her, and she had sores from digging herself. We got some medicated powder from the vet, an antibiotic , and put her on a good kibble. It has made a huge difference. Try switching the food to an allergy formulated food, like the Natural Balance. I would also have a vet take a look , and they will be able to find out what it is, and treat it accordingly.
If you are a dog and your owner suggests that you wear a sweater, suggest that he wear a tail.