I am new to time series regression. I am trying to understand the effect of differencing the time-dependent data before applying regression analysis. I tried fitting lots of regression models but in all those cases the model assumptions are violated and show a high autocorrelation. I was told that interpretation of the model is extremely hard when differencing is applied. But my objective is to determine the variable importance therefore I want to understand whether applying differencing has an effect on variable importance.

What other methods can I use to understand variable importance in time series variable?

I am new to time series regression. I am trying to understand the effect of differencing the time-dependent data before applying regression analysis. 

I tried fitting lots of regression models but in all those cases the model assumptions are violated and show a high autocorrelation.

I was told that interpretation of the model is extremely hard when differencing is applied. But my objective is to determine the variable importance; therefore I want to understand whether applying differencing has an effect on variable importance.

What other methods can I use to understand variable importance in time series variable?