For my study I am writing a research paper for the first time and I seem to be having a problem with unit root. I have variables on the Dutch and Italian unemployment rate, the exchange rate USD/EUR, the AEX index and the MIB index. I used a DF test to check whether there was unit root which there was in every variable. After that I took the first difference of the variables and after that I did a log transformation to see the % change. I checked the variables again for unit root and both MIB Index and the Italian unemployment rate seem to still have unit root. So this is after first differencing and log transformation. What are possible steps I could use to proceed?