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hey @Tia Guo! This problem is usually complex if you have a lot of external regressors. One approach would be to iterate over the different combinations of external regressors using cross-validation to recover the features that minimize the validation loss. The set of possible combinations could be created based on domain knowledge to avoid iterating over all of them.

@Tia Guo you can try mutual information https://valeman.medium.com/mutual-information-for-time-series-forecasting-in-python-377d36ded102