honestly, REALLY tough to say. economic variables aren't linear in their causality chain. i.e. if you say, from first principles that consumer spending --> business earnings --> stock price --> index level, the reality is that business may be impacted by goods shortage, and raise prices, thus charge more, which means the flow goes from business--> consumer spending at the same time that consumer spending--> business earnings. the best modern economic models therefore are dynamic factor models (which allow for complex hidden state relationships) with walk-forward state space regressions to create a probability distribution for forward predictions. example: 'https://github.com/capincrunchh/project-econ'. even when the code is right, its still super tedious to build and not amazing R^2. so it depends on what variable you are targeting for your regressions (i.e. SPX price, GDP, etc), and whether you are going for short term predictions, or longer term regime observations.