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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?

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    $\begingroup$ Hi Nipuni. Welcome to CV. Could you elucidate which model assumptions you are talking about? What is the motivation of (not) differencing before applying regression? Any elaboration would be appreciated. $\endgroup$
    – User1865345
    Commented Jun 27, 2023 at 12:20
  • $\begingroup$ About the interpretation: stats.stackexchange.com/questions/74924/… $\endgroup$
    – kk68
    Commented Jun 27, 2023 at 12:32
  • $\begingroup$ Hello, So when I applied regression analysis on the data, Normality assumption, multicollinearity, and all residual analysis assumptions were violated. I tried applying transformations like log transformations and square root transformations but still, the models did not satisfy the assumptions. In all the models, residuals showed a high autocorrelation. My teacher suggested using a variable selection method, so I applied the backward selection method and also tried all possible models method but still a satisfying model cannot be found because of the autocorrelation. $\endgroup$
    – Nipuni Opatha
    Commented Jun 27, 2023 at 15:09
  • $\begingroup$ There's a trend pattern in the data, therefore I used differencing on the data and then applied regression then the model assumptions were all satisfied. But I'm not sure if that is a valid, meaningful method. $\endgroup$
    – Nipuni Opatha
    Commented Jun 27, 2023 at 15:09
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    $\begingroup$ @User1865345-solidarityMods, Thank you very much for the help. I will look up those posts. $\endgroup$
    – Nipuni Opatha
    Commented Jun 28, 2023 at 8:24

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