testing the relationship between stock price and macroeconomic variables 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 ?
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?
  


Seasonal adjustment of data is required in your VAR/VECM, you can do this by employing seasonal dummies (dummies 11 if you have monthly data and 4 if you have quaterly data).

All your data has to initially be seasonally unadjusted, because the inclusion of dummies will affect all the data that you include in your model. You will end up having skewed estimates of your already adjusted variables influence on a given process.


  
  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?
  


Again if you want your estimates to be consistent you have to make sure all of your monetary variables are inflation adjusted. practically you may want to use real exchange rate instead of nominal exchange rate data for this.


  
  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 ?
  


No this is not necessary and your estimates will be fine. Just remember to keep this in mind when your run your model.

Hope this helps