I'm in the midst of preparing data to test the relationship between stock index and macroeconomic variables. The variables include m1, cpi, ipi, interest rate, exchange rate. I have some question below:
Is seasonality adjustment on the data required? If one variable is seasonality adjusted, is that all variables in the models have to be seasonality adjusted as well? If all are not seasonality adjusted, will there be a problem?
Would it be alright if all data are not inflation adjusted, that is nominal data? And if one variable are inflation adjusted, is that all must be so to be consistent?
The base period for CPI and IPI is not the same. Is it a requirement for the base period to be the same in the model ?