What techniques can be used to predict a time series (say monthly economic data) with another time series (say a company's sales)?
If you only have about 50 data points of monthly data, and a yearly seasonality for both your predictor and predicted variables. Is the best way to do this simply to remove seasonality (say with a moving average) on both, and then OLS regress one on the other? Is it ARIMA? Is there anything more appropriate? If I try every possible lag for every predictor and then pick the one that fits best, do I not face a cherry-picking problem?