1. A method for using an econometric model creation tool implemented on computing equipment to automatically create an optimum econometric model that generates an economic forecast over a forecast horizon based on a given set of historical data, wherein the model is defined by model parameters and model coefficients, the method comprising: selecting a plurality of trial sets of model parameters for the model using the model creation tool implemented on the computing equipment; estimating model coefficients for the model defined by each set of trial model parameters using the model creation tool implemented on the computing equipment; with the model creation tool implemented on computing equipment, using the estimated model coefficients and the given set of historical data in the model that is defined by each set of trial parameters to generate a corresponding error metric value that is indicative of how well that model generates forecasts; with the model creation tool implemented on computing equipment, using the error metric values to identify which of the sets of trial parameters and estimated model coefficients defines the optimum model; and using the model creation tool implemented on computing equipment to perform an automated principal components analysis on the given set of historical data.