The establishment of the model must first be supported by economic theory. According to the topic you are interested in, determine the independent variable X and the dependent variable Y. In practical research, the independent variable X usually has many choices, and the most basic one is the multiple regression model. Models are not always linear, so we should solve problems according to reality. For example, elasticity, you have to take a logarithmic model.

Just read a book about econometrics. Woodridge's is good.