Hi all,

I have calculated variables which I would like to regress on macroeconomic variables like inflation and employment rate growth over a 30 year period.
In the end I want to obtain residuals which indicate the part not explained by macroeconomic data.

The model is:
regress variable Y(t) on X1(t) X2(t) ... X6(t), where Y is the dependent and X1-6 are the independent variables in each period.

I know that autocorrelation and stationarity are essential to check - however I am confused because some variables tend to be stationary / some not. Durbin Watson further indicate autocorrelation with a value of 2.73 for the non-adjusted model.
  • How do I need to conduct the regression - has anybody a step by step approach?
  • Which model to choose (OLS/VAR/ARIMAX)?
  • Are there any good links out there which handle a problem like mine?
Thanks,

Lukas