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I'm trying to model a regression for one dependent and five independent macroeconomic variables. I'm new to statistics but I've read lots of text books and articles about SEM, cointegration, ols, URT, factor analysis etc. I'm not sure about a good starting point: should I run a unit root or stationarity test in the first step or checking for sphericity or statistical power? is there any necessity for calculating stat power or checking for sphericity?

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