[EHN] Allow exogenous variables in regression forecasters

[TinaJin0228]

Reference Issues/PRs

#2814

What does this implement/fix? Explain your changes.

This implements support for exogenous variables (exog) in the RegressionForecaster, enabling the "multivariate regression" approach where the exogenous series are windowed alongside the main time series and fed into a standard regressor.

The implementation adds a capability tag "capability:exogenous" to the BaseForecaster.

New unit tests were also added to validate the functionalities.

Does your contribution introduce a new dependency? If yes, which one?

NO.

Any other comments?

NO.

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[TonyBagnall]

the logic of this is all correct and it looks good, but I dont think you should check exog with self._check_X. This checks the tag capability:multivariate, which is not appropriate here. I recommend you just leave out any checks for exog for now, we can enhance it later on the next round of base class improvements

[TonyBagnall]

lgtm