I am building a time series forecasting model in which I am considering the macroeconomic indicators as predictors.I wanted to ask 2 things
How do I get the future values?I have seen trading economics and some other sites but they are paid. Also if I want predict indicators on my own how should I go about that?
All the data for indicators are given in two forms on govt websites - seasonally adjusted and seasonally not adjusted. I am using seasonally adjusted data for my model building.Is that correct?
3.I am building a product demand forecasting model. I have chosen 20-30 macroeconomic indicators and other exogenous variables. I wanted to understand how do I check with explanatory variables will help me in forecasting the demand. How do I compare two time series .Can I build a separate regression models for each indicator with dependent variable as demand and then select variables which are significant into my final forecasting model. Or can I use Cross Correlation or Granger's causality approach to determine significant predictors?
Any help would be appreciated