I have a data set containing 20 years of Gini values for a country. The latest data are for 2018. I want to predict the Gini values for this country by 2025. How can I do this using ML techniques? Also, which econometric forecast model would you recommend?
The very first thing you should do is try an extremely simple forecasting benchmark, like the exponential smoothing model that is automatically selected by
forecast::ets(). I recommend the excellent free online book Forecasting: Principles and Practice (2nd ed.) by Athanasopoulos & Hyndman.
After you have calculated this benchmark, which should take about ten minutes, you can go into econometric forecasting, putting all other macroeconometric variables into a giant vector autoregression (VAE). There are many textbooks on econometrics. This second step shouldn't take much more than a year.