Here it is important, in my view, to be flexible and eclectic rather than rigid and dogmatic. In addition to single-equation models, we also have a number of macroeconomic and multi-equation models that are used to cross-check the forecasts. These models have the advantage of incorporating feedback effects. For example, higher wage growth increases firm's input costs and could lead to higher inflation.
That, in turn, could increase inflation expectations and encourage workers to push for higher wage growth. The macro models also impose internal consistency, so we can have greater confidence that forecasts for individual variables are consistent with each other. It is also useful to check that adding up constraints aren't being violated!