I am doing some research on Germany, France and Spain on their spread. I would like to try to 'forecast' or 'explain' the the spread on sovreign debt using OLS regression on unemployment and debt amount.
I would like to ask you some suggestions on the methodology:
1) To use OLS in time series all data shall be stationary but once I have stationarized them it works fine; right?
2) Would you regress the spread between germany and france on unemployment of France or on the $\Delta$ between unemployment in france and germany?
3) To forecast I would regress spread at time $t$ on variables at $t-1$, is it fine? To explain, on the other hand, both shall be at time $t$. Do you agree?