Are there recommended feature selection packages that work well with neuralforecast? I'd like to use NHITS with exogenous variables, although the challenge is more about figuring out the top variables that help increase the NHITS accuracy.

We’ve been using granger forecastability tests to that end.

@Viet Yen Nguyen any specific library you found useful? or is it the one implemented in

statsmodel

library?

We use the one in statsmodel too. But it’s also not so difficult to implement one yourself to suit specific needs.

I'm working on monthly time interval, mostly internal business data as my target and economics data as my features.

me too. You working with very sparse/intermittent data?

Have you ever worked with Tsfresh? https://tsfresh.readthedocs.io/en/latest/ I've used it before for automatic feature extraction

@Mark for the time being, my data is not really sparse/intermittent

ah ok. @Phil good results with it?

It worked really well for my use case. I was training a metalearning model which predicted which timeseries forecasting model would give me the best MAPE forecast based on feature of the input timeseries. https://robjhyndman.com/papers/fforms.pdf