I have 44 years of data for 4 variables: Y, X1, X2, X3.
All 4 variables are non-stationary. I plan to run this model: Y= X1 + X2 + X3 + e. I wonder what should I do next, steps by steps, to fit my model?
1.Should I first use log and/or difference on all the 4 variables to make them become stationary, and then run the model?
2.How to decide whether I should put 4 logs and/or difference on all the 4 variables? or on Y, X1, X2, or X3?
3.What time series methods should I use to fit my model? AR, MA, ARMA, ARIMA, ARMAV, Multivariate Time Series?
4.I am using SPSS. Answers about SPSS or not are all appreciated.
Thanks a lot.