Hi all, I am using statsforecast library while including multiple exogenous variables. Are there any best practices to analyze the impacts/importance of these features and to select the most efficient set of features?

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