I've been using Elastic net for time series forecasting. I’m using first difference of the series. Normally I use the ACF to determine the number of lags to use. I was curious, if I would produce more lags than according to ACF, would Elastic net use them or not. Below is the ACF.
The ACF cutoff was around 13-15 lags. I decided to produce 40 lags. Then I used Elastic net and the algorithm used all the variables, also lags 15 to 40. I used 10-fold CV to tune.
What could be the reason for Elastic net using lags that should not affect the outcome according to ACF?