I want to predict a multivariate daily time series, the target output is the volume of packages that is send and the covariates are day specific information as weather, the distance to holidays but as well lagged values of the target variable. The target output time series is not stationary, when I difference it, it is. So my intention was to just difference every variable. However, some of my covariates are already stationary, so differencing makes them non-stationary.
I am not really sure if I should difference everything or nothing or just some variables, where the latter sounds not really reasonable to me. Could you please help?