Really good data only goes back a couple or more decades, so any data you put in your model has only been influenced by the kinds of things we’ve seen in that time. Impact of a hot war between major powers? The gold standard? Stagflation? Invention of the car or train? Transition of major world powers to democracy or communism? All these events left almost no data compared to today, to say nothing of run-of-the-mill changes in styles of monetary policy, economic drivers or shifts in style of government.