I am forecasting demand for certain types of goods and services, which I expect to be correlated to a sub-set of a basket of macroeconomic indicators (considering 15-20 indicators)
I do not know which indicators influence the demand more, whether they have a simple correlation influence or whether a derivative of change influences the demand (i.e. GDP or GDP change for example) or whether there’s a delayed effect on demand (e.g. increased government spend in last year may better predict this year’s demand?). Some macro indicators may be correlated to each other.
I have some basic hypotheses on likely indicators - that may be right or wrong.
Questions 1. What are good time-series forecasting models? What can be considered, apart from just a multivariate regression? 2. Is there a tool whereby I can input the historical demand, historical macro indicators, which will then output which set of indicators best predict the demand and which model works best?
I know how to do regressions in excel, but that’s just one set of indicators at a time. 20 indicators (plus derivatives, plus lag) throws up so many possibilities I cannot manually simulate.
Any help appreciated.