I need some help in understanding the following:
I have a time series data (y) that I am using to run regression models. However, my dependent variable is log(y).
- Should I test for stationarity of y or log(y)?
- If say y or log(y) turn out to be non-stationary and I need to make the sure that my dependent variable is stationary, I need to difference it. Should I take first difference of y and then take log(first diff of y) as my dependent variable or take first diff of log(y)?