Dear all,
I just started to learn time series analysis and I'm reading Becketti's book at the moment. One general question that I didn't catch an answer to was, do I apply VAR models (as well as other models) on raw data or smoothen/filtered data? To be more precise, do I want to, for instance, de-trend, fix autocorrelation, and/or make my series stationarity prior to applying VAR models?
In general, I find it very hard to extract any general steps of how time series analysis proceeds, that is, what are the first steps, second, third? Are they any general "ways" how one analysis time series, I mean, maybe it makes way more sense to first test stationarity, autocorrelation than checking trend, cycle, etc?
Hope my question is not too confusingly written.
Thank you for your answers!
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