I'm learning ARIMA modelling and met some practical questions:
- in which case should we analyze a stock price or logarithm transformation of stock price. and what about other economic/financial data such as GDP, interest rate, exchange rate? which is the rational?
- we should have a stationary data. I'm using Augmented Dickey-Fuller test for unit root in 3 versions: no constant, drift and drift+trend. all these tests results told me that my data is non-stationary, but 1st version estimated coefficient was positive. therefore I excluded that and other 2 remained. But how can I figure out where I have stochastic or deterministic trend? I mean, I have to know it in order to apply either first-difference rule or detrending approach. where should I look at to understand?
- how to properly identify lags in AR and MA?