I have created a performance score and want to check which of my long list of variables is a leading indicator of this performance score. How do I select the variable set that I should use in the model?
Should I use GLMSELECT, but I am not sure if Lasso is appropriate for time series data. Is there a better way of selecting the best set of variables in my model? I tested many models with different sets of variables but do not feel that is the appropriate way as I feel there is much more combinations of variables that I will not have time to test.
Thank you.
