I am studying pre whitening and cross correlation functions. I read somewhere... I forgot where, that there are patterns which tell you which lags of each variable to take.
In this image, lags of X correlate with Y, and then a decay of correlation begins at lag 3 of X. I read that, when modeling Y with Arimax, a pattern like this means I should use lag 3 of X and lag 1 of Y.
My question is... why? I was told to use these lags when I see this pattern, but I was not told why!