Extracting corresponding coefficients for regression_model, where lags are used on covariates.

[ggerogiokas]

Is your feature request related to a current problem? Please describe.

The coef_ of the regression_model has no labels so it's unclear which lag and covariate each coefficient is associated with.

Describe proposed solution

Pull out labels and associated lag per coefficient (not possible if multivariate time-series is not labelled). Or make clear what the order of the covariates and their lags are.

[hrzn]

Linked to #192

[madtoinou]

Closed by #1679, the name of the features are accessible for the RegressionModel in the _lagged_feature_names attribute (List[str]).