I have two time series that are growing together. I want to measure if these series are growing similarly together with some lag.
Originally, I was thinking I would just take the cross-correlation between the two time series. However, I had not realized that the given that these two series are growing means that they are not stationary!! cross-correlation is only defined for stationary series, correct? Is there another simple method that I can use to capture the similarity, dependent on some lag, of the two time series?
I'm not interested in modelling the series but rather just capturing the similarity between the two.